root/matlab/mex/arx.cpp @ 347

#include <itpp/itcomm.h>
#include <itpp/itmex.h>

#include "../../bdm/estim/arx.h"

using namespace itpp;

void mexFunction ( int n_output, mxArray *output[], int n_input, const mxArray *input[] ) {
        // Check the number of inputs and output arguments
        if ( n_output<1 ) mexErrMsgTxt ( "Wrong number of output variables!" );
        if ( n_input!=1 ) mexErrMsgTxt ( "Wrong number of input variables!" );

        // Convert input variables to IT++ format
        mat Data = mxArray2mat ( input[0] );

        // ------------------ Start of routine ---------------------------
        int ndat=Data.cols();
        int npsi=Data.rows();
        RV thr ( "1","{ theta_r }",vec_1 ( npsi ),vec_1 ( 0 ) );

        mat V0=1e-8*eye ( npsi ); V0 ( 0,0 ) *=100.0;
        double nu0=npsi;
        ARX Ar ( thr,V0,nu0 );
        // estimate
        for (int i=0;i<ndat;i++ ) {Ar.bayes ( Data.get_col ( i ) );     }

        vec th = Ar._epdf().mean();

        // ------------------ End of routine -----------------------------

        // Create output vectors
        output[0] = mxCreateDoubleMatrix ( 1,th.length(), mxREAL );
        // Convert the IT++ format to Matlab format for output
        vec2mxArray ( th, output[0] );

        if ( n_output>1 ) {
                double ll=Ar._tll();
                output[1] = mxCreateDoubleMatrix ( 1,1, mxREAL );
                double2mxArray ( ll, output[1] );
        }
        
        if ( n_output>2 ) {
                ivec str = Ar.structure_est ( egiw ( thr,V0,nu0 ) );
                output[2] = mxCreateDoubleMatrix ( 1,str.length(), mxREAL );
                ivec2mxArray ( str, output[2] );
        }
}