root/matlab/mex/linefit2.cpp @ 133

#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!=3 ) mexErrMsgTxt ( "Wrong number of input variables!" );

        // Convert input variables to IT++ format
        mat Data = mxArray2mat ( input[0] );
        if (Data.rows()!=2)
                { if (Data.cols()==2) Data=Data.T(); else mexErrMsgTxt("Data are not 2D!");}
        int ilow = mxArray2int ( input[1] )-1;
        int ihi = mxArray2int ( input[2] )-1; //coreection for different indeces

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

        mat V0=1e-8*eye ( npsi ); V0 ( 0,0 ) =10.0;
        vec rgr(npsi);
        double nu0=2;
        // fitting a linear part => third coef is "1"
        rgr(2) = 1.0;

        // RESULTS
        mat Tlls=zeros(ihi,ihi);
        // AR model
        ARX Ar ( thr,V0,nu0 );

        //Initialize
        for (int i=ilow; i<ihi; i++) {
                rgr.set_subvector(0,Data.get_col ( i ));
                Ar.bayes(rgr);
        }
        Ar.get_parameters(V0,nu0);
        V0 /=V0(1,1);
        nu0=3;
        Ar.set_parameters(V0,nu0);
                
        // FLATTEN
        for (int i=ilow; i<ihi; i++) {
                Ar.set_parameters(V0,nu0);
                for (int t=i+1; t<ihi; t++) {
                        rgr.set_subvector(0,Data.get_col ( t ));
                        Ar.bayes(rgr);
                        Tlls(i,t)=Ar._tll();
                }
        }

        max_index(Tlls,ilow,ihi);

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

        output[0] = mxCreateDoubleMatrix ( 2,1, mxREAL );
        ivec2mxArray (vec_2(ilow+1,ihi+1) , output[0] );

        if ( n_output>1 ) {
        // Create output vectors
        output[1] = mxCreateDoubleMatrix ( Tlls.rows(),Tlls.cols(), mxREAL );
        // Convert the IT++ format to Matlab format for output
        mat2mxArray ( Tlls, output[1] );
        }
        
}