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        <type>void</type>
        <definition>void mexFunction</definition>
        <argsstring>(int n_output, mxArray *output[], int n_input, const mxArray *input[])</argsstring>
        <name>mexFunction</name>
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          <type>int</type>
          <declname>n_output</declname>
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        <param>
          <type>mxArray *</type>
          <declname>output</declname>
          <array>[]</array>
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        <param>
          <type>int</type>
          <declname>n_input</declname>
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        <param>
          <type>const mxArray *</type>
          <declname>input</declname>
          <array>[]</array>
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<codeline lineno="1"><highlight class="preprocessor">#include<sp/>&lt;itpp/itcomm.h&gt;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="2"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>&lt;itpp/itmex.h&gt;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="3"><highlight class="normal"></highlight></codeline>
<codeline lineno="4"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>&quot;../../bdm/estim/arx.h&quot;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="5"><highlight class="normal"></highlight></codeline>
<codeline lineno="6"><highlight class="normal"></highlight><highlight class="keyword">using<sp/>namespace<sp/></highlight><highlight class="normal">itpp;</highlight></codeline>
<codeline lineno="7"><highlight class="normal"></highlight></codeline>
<codeline lineno="8"><highlight class="normal"></highlight><highlight class="keywordtype">void</highlight><highlight class="normal"><sp/>mexFunction<sp/>(<sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>n_output,<sp/>mxArray<sp/>*output[],<sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>n_input,<sp/></highlight><highlight class="keyword">const</highlight><highlight class="normal"><sp/>mxArray<sp/>*input[]<sp/>)<sp/>{</highlight></codeline>
<codeline lineno="9"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>Check<sp/>the<sp/>number<sp/>of<sp/>inputs<sp/>and<sp/>output<sp/>arguments</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="10"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">if</highlight><highlight class="normal"><sp/>(<sp/>n_output&lt;1<sp/>)<sp/>mexErrMsgTxt<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;Wrong<sp/>number<sp/>of<sp/>output<sp/>variables!&quot;</highlight><highlight class="normal"><sp/>);</highlight></codeline>
<codeline lineno="11"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">if</highlight><highlight class="normal"><sp/>(<sp/>n_input!=1<sp/>)<sp/>mexErrMsgTxt<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;Wrong<sp/>number<sp/>of<sp/>input<sp/>variables!&quot;</highlight><highlight class="normal"><sp/>);</highlight></codeline>
<codeline lineno="12"><highlight class="normal"></highlight></codeline>
<codeline lineno="13"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>Convert<sp/>input<sp/>variables<sp/>to<sp/>IT++<sp/>format</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="14"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>Data<sp/>=<sp/>mxArray2mat<sp/>(<sp/>input[0]<sp/>);</highlight></codeline>
<codeline lineno="15"><highlight class="normal"></highlight></codeline>
<codeline lineno="16"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>------------------<sp/>Start<sp/>of<sp/>routine<sp/>---------------------------</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="17"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>ndat=Data.cols();</highlight></codeline>
<codeline lineno="18"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>npsi=Data.rows();</highlight></codeline>
<codeline lineno="19"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classRV" kindref="compound" tooltip="Class representing variables, most often random variables.">RV</ref><sp/>thr<sp/>(<sp/></highlight><highlight class="stringliteral">&quot;1&quot;</highlight><highlight class="normal">,</highlight><highlight class="stringliteral">&quot;{<sp/>theta_r<sp/>}&quot;</highlight><highlight class="normal">,vec_1<sp/>(<sp/>npsi<sp/>),vec_1<sp/>(<sp/>0<sp/>)<sp/>);</highlight></codeline>
<codeline lineno="20"><highlight class="normal"></highlight></codeline>
<codeline lineno="21"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>V0=1e-8*eye<sp/>(<sp/>npsi<sp/>);<sp/>V0<sp/>(<sp/>0,0<sp/>)<sp/>*=100.0;</highlight></codeline>
<codeline lineno="22"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>nu0=npsi;</highlight></codeline>
<codeline lineno="23"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><ref refid="classARX" kindref="compound" tooltip="Linear Autoregressive model with Gaussian noise.">ARX</ref><sp/>Ar<sp/>(<sp/>thr,V0,nu0<sp/>);</highlight></codeline>
<codeline lineno="24"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>estimate</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="25"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal"><sp/>(</highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>i=0;i&lt;ndat;i++<sp/>)<sp/>{Ar.bayes<sp/>(<sp/>Data.get_col<sp/>(<sp/>i<sp/>)<sp/>);<sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
<codeline lineno="26"><highlight class="normal"></highlight></codeline>
<codeline lineno="27"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>th<sp/>=<sp/>Ar._epdf().mean();</highlight></codeline>
<codeline lineno="28"><highlight class="normal"></highlight></codeline>
<codeline lineno="29"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>------------------<sp/>End<sp/>of<sp/>routine<sp/>-----------------------------</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="30"><highlight class="normal"></highlight></codeline>
<codeline lineno="31"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>Create<sp/>output<sp/>vectors</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="32"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>output[0]<sp/>=<sp/>mxCreateDoubleMatrix<sp/>(<sp/>1,th.length(),<sp/>mxREAL<sp/>);</highlight></codeline>
<codeline lineno="33"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>Convert<sp/>the<sp/>IT++<sp/>format<sp/>to<sp/>Matlab<sp/>format<sp/>for<sp/>output</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="34"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec2mxArray<sp/>(<sp/>th,<sp/>output[0]<sp/>);</highlight></codeline>
<codeline lineno="35"><highlight class="normal"></highlight></codeline>
<codeline lineno="36"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">if</highlight><highlight class="normal"><sp/>(<sp/>n_output&gt;1<sp/>)<sp/>{</highlight></codeline>
<codeline lineno="37"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>ll=Ar._tll();</highlight></codeline>
<codeline lineno="38"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>output[1]<sp/>=<sp/>mxCreateDoubleMatrix<sp/>(<sp/>1,1,<sp/>mxREAL<sp/>);</highlight></codeline>
<codeline lineno="39"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>double2mxArray<sp/>(<sp/>ll,<sp/>output[1]<sp/>);</highlight></codeline>
<codeline lineno="40"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
<codeline lineno="41"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
<codeline lineno="42"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">if</highlight><highlight class="normal"><sp/>(<sp/>n_output&gt;2<sp/>)<sp/>{</highlight></codeline>
<codeline lineno="43"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>ivec<sp/><ref refid="classstr" kindref="compound" tooltip="Structure of RV (used internally).">str</ref><sp/>=<sp/>Ar.structure_est<sp/>(<sp/><ref refid="classegiw" kindref="compound" tooltip="Gauss-inverse-Wishart density stored in LD form.">egiw</ref><sp/>(<sp/>thr,V0,nu0<sp/>)<sp/>);</highlight></codeline>
<codeline lineno="44"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>output[2]<sp/>=<sp/>mxCreateDoubleMatrix<sp/>(<sp/>1,str.length(),<sp/>mxREAL<sp/>);</highlight></codeline>
<codeline lineno="45"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>ivec2mxArray<sp/>(<sp/>str,<sp/>output[2]<sp/>);</highlight></codeline>
<codeline lineno="46"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
<codeline lineno="47"><highlight class="normal">}</highlight></codeline>
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