root/tests/arx_test.cpp @ 162

#include <estim/arx.h>
#include <stat/libEF.h>
using namespace itpp;

//These lines are needed for use of cout and endl
using std::cout;
using std::endl;

int main() {
        // Setup model
        vec th("0.8 -0.3 0.4 0.01");
        int ord=th.length();
        double sqr=1;
        
        //Test constructor
        mat V0 = 0.001*eye(ord+1); V0(0.0)*= 10; //
        double nu0 = ord+1;
        
        RV thr("{theta_and_r }");
        ARX Ar(thr, V0, nu0);
        epdf& Ar_ep = Ar._epdf();
        
        //Test estimation
        int ndat = 1000;
        int t,j;
        vec Yt(ndat);
        vec LL(ndat);
        Yt.set_subvector(0,randn(ord)); //initial values
        vec rgr(ord);
        
        cout << Ar_ep.mean()<<endl;
        for (t=ord; t<ndat; t++) {
                for(j=0;j<(ord);j++){rgr(j)=Yt(t-j-1);}
                Yt(t) = th*rgr + sqr * NorRNG();
                
                vec Psi = concat(Yt(t), rgr);
                Ar.bayes(Psi);
                LL(t) = Ar._ll();
        }
        cout << Ar_ep.mean()<<endl;
        
        // Test brute-froce structure estimation
        cout << Ar.structure_est(egiw(thr,V0,nu0)) <<endl;
}