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        <type>int</type>
        <definition>int main</definition>
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        <name>main</name>
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<codeline lineno="1"><highlight class="preprocessor">#include<sp/>&lt;itpp/base/itfile.h&gt;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="2"><highlight class="normal"></highlight></codeline>
<codeline lineno="3"><highlight class="normal"></highlight><highlight class="preprocessor">#include<sp/>&quot;<ref refid="arx_8h" kindref="compound" tooltip="Bayesian Filtering for generalized autoregressive (ARX) model.">estim/arx.h</ref>&quot;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="4"><highlight class="normal"></highlight></codeline>
<codeline lineno="5"><highlight class="normal"></highlight><highlight class="keyword">using<sp/>namespace<sp/></highlight><highlight class="normal">itpp;</highlight></codeline>
<codeline lineno="6"><highlight class="normal"></highlight></codeline>
<codeline lineno="7"><highlight class="normal"></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/><ref refid="sim__var_8cpp_1e66f6b31b5ad750f1fe042a706a4e3d4" kindref="member" tooltip="Extended Kalman filter with unknown Q.">main</ref>(){</highlight></codeline>
<codeline lineno="8"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>it_file<sp/>inpf(</highlight><highlight class="stringliteral">&quot;Data.it&quot;</highlight><highlight class="normal">);</highlight></codeline>
<codeline lineno="9"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>Data;</highlight></codeline>
<codeline lineno="10"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>inpf<sp/>&gt;&gt;<sp/>Name(</highlight><highlight class="stringliteral">&quot;Data&quot;</highlight><highlight class="normal">)<sp/>&gt;&gt;Data;</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/>(Data.rows()&gt;2)<sp/>Data=Data.T();</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="keywordtype">int</highlight><highlight class="normal"><sp/>ilow<sp/>=<sp/>0;</highlight></codeline>
<codeline lineno="14"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>ihi<sp/>=<sp/>40;</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()<sp/>+1;<sp/></highlight><highlight class="comment">//add<sp/>a<sp/>constant</highlight><highlight class="normal"></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/>=1.0;</highlight></codeline>
<codeline lineno="22"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>rgr<sp/>(<sp/>npsi<sp/>);</highlight></codeline>
<codeline lineno="23"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordtype">double</highlight><highlight class="normal"><sp/>nu0=3;</highlight></codeline>
<codeline lineno="24"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>fitting<sp/>a<sp/>linear<sp/>part<sp/>=&gt;<sp/>third<sp/>coef<sp/>is<sp/>&quot;1&quot;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="25"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>rgr<sp/>(<sp/>2<sp/>)<sp/>=<sp/>1.0;</highlight></codeline>
<codeline lineno="26"><highlight class="normal"></highlight></codeline>
<codeline lineno="27"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>RESULTS</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="28"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>Tlls=zeros<sp/>(<sp/>ihi+1,ihi+1);</highlight></codeline>
<codeline lineno="29"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>AR<sp/>model</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="30"><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="31"><highlight class="normal"></highlight></codeline>
<codeline lineno="32"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//Initialize</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="33"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal"><sp/>(<sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>i=ilow+2;<sp/>i&lt;ihi-2;<sp/>i++<sp/>)<sp/>{</highlight></codeline>
<codeline lineno="34"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>rgr.set_subvector<sp/>(<sp/>0,Data.get_col<sp/>(<sp/>i<sp/>)<sp/>);</highlight></codeline>
<codeline lineno="35"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Ar.bayes<sp/>(<sp/>rgr<sp/>);</highlight></codeline>
<codeline lineno="36"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
<codeline lineno="37"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="comment">//<sp/>FLATTEN</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="38"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Ar.get_parameters<sp/>(<sp/>V0,nu0<sp/>);</highlight></codeline>
<codeline lineno="39"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>V0<sp/>*=1.0/nu0;<sp/></highlight><highlight class="comment">//<sp/>same<sp/>flattening<sp/>factor<sp/>as<sp/>for<sp/>nu0</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="40"><highlight class="normal"></highlight><highlight class="comment">//<sp/><sp/><sp/><sp/><sp/><sp/>V0(0,0)*=1.2;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="41"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>nu0=3;</highlight></codeline>
<codeline lineno="42"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Ar.set_parameters<sp/>(<sp/>V0,nu0<sp/>);</highlight></codeline>
<codeline lineno="43"><highlight class="normal"></highlight></codeline>
<codeline lineno="44"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal"><sp/>(<sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>i=ilow;<sp/>i&lt;=ihi;<sp/>i++<sp/>)<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/>Ar.set_parameters<sp/>(<sp/>V0,nu0<sp/>);</highlight></codeline>
<codeline lineno="46"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight><highlight class="keywordflow">for</highlight><highlight class="normal"><sp/>(<sp/></highlight><highlight class="keywordtype">int</highlight><highlight class="normal"><sp/>t=i;<sp/>t&lt;=ihi;<sp/>t++<sp/>)<sp/>{</highlight></codeline>
<codeline lineno="47"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>rgr.set_subvector<sp/>(<sp/>0,Data.get_col<sp/>(<sp/>t<sp/>)<sp/>);</highlight></codeline>
<codeline lineno="48"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Ar.bayes<sp/>(<sp/>rgr<sp/>);</highlight></codeline>
<codeline lineno="49"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>Tlls<sp/>(<sp/>i,t<sp/>)<sp/>=Ar._tll();</highlight></codeline>
<codeline lineno="50"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
<codeline lineno="51"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>}</highlight></codeline>
<codeline lineno="52"><highlight class="normal"></highlight></codeline>
<codeline lineno="53"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>max_index<sp/>(<sp/>Tlls,ilow,ihi<sp/>);</highlight></codeline>
<codeline lineno="54"><highlight class="normal"></highlight></codeline>
<codeline lineno="55"><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="56"><highlight class="normal"></highlight></codeline>
<codeline lineno="57"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>max_index(Tlls,ilow,ihi);</highlight></codeline>
<codeline lineno="58"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>inpf<sp/>&lt;&lt;<sp/>Name(</highlight><highlight class="stringliteral">&quot;T&quot;</highlight><highlight class="normal">)<sp/>&lt;&lt;<sp/>Tlls;</highlight></codeline>
<codeline lineno="59"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>inpf<sp/>&lt;&lt;<sp/>Name(</highlight><highlight class="stringliteral">&quot;ilow&quot;</highlight><highlight class="normal">)<sp/>&lt;&lt;<sp/>ilow+1;</highlight></codeline>
<codeline lineno="60"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>inpf<sp/>&lt;&lt;<sp/>Name(</highlight><highlight class="stringliteral">&quot;ihi&quot;</highlight><highlight class="normal">)<sp/>&lt;&lt;<sp/>ihi+1;</highlight></codeline>
<codeline lineno="61"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
<codeline lineno="62"><highlight class="normal">}</highlight></codeline>
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