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        <definition>int main</definition>
        <argsstring>()</argsstring>
        <name>main</name>
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<codeline lineno="1"><highlight class="preprocessor">#include<sp/>&quot;../../bdm/estim/arx.h&quot;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="2"><highlight class="normal"></highlight></codeline>
<codeline lineno="3"><highlight class="normal"></highlight><highlight class="keyword">using<sp/>namespace<sp/></highlight><highlight class="normal">itpp;</highlight></codeline>
<codeline lineno="4"><highlight class="normal"></highlight></codeline>
<codeline lineno="5"><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>()<sp/>{</highlight></codeline>
<codeline lineno="6"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>it_file<sp/>itf(</highlight><highlight class="stringliteral">&quot;DD&quot;</highlight><highlight class="normal">);</highlight></codeline>
<codeline lineno="7"><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="8"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>Data;</highlight></codeline>
<codeline lineno="9"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>itf<sp/>&gt;&gt;<sp/>Name(</highlight><highlight class="stringliteral">&quot;DD&quot;</highlight><highlight class="normal">)<sp/>&gt;&gt;<sp/>Data;</highlight></codeline>
<codeline lineno="10"><highlight class="normal"></highlight></codeline>
<codeline lineno="11"><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="12"><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="13"><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="14"><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="15"><highlight class="normal"></highlight></codeline>
<codeline lineno="16"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>mat<sp/>V0=1e-8*eye<sp/>(<sp/>npsi<sp/>);<sp/></highlight><highlight class="comment">//V0<sp/>(<sp/>0,0<sp/>)<sp/>*=1.0;</highlight><highlight class="normal"></highlight></codeline>
<codeline lineno="17"><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="18"><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="19"><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="20"><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="21"><highlight class="normal"></highlight></codeline>
<codeline lineno="22"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>vec<sp/>th<sp/>=<sp/>Ar._epdf().mean();</highlight></codeline>
<codeline lineno="23"><highlight class="normal"></highlight></codeline>
<codeline lineno="24"><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="25"><highlight class="normal"></highlight></codeline>
<codeline lineno="26"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>cout<sp/>&lt;&lt;<sp/>th<sp/>&lt;&lt;endl;</highlight></codeline>
<codeline lineno="27"><highlight class="normal"></highlight></codeline>
<codeline lineno="28"><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._ll();</highlight></codeline>
<codeline lineno="29"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>cout<sp/>&lt;&lt;<sp/>ll<sp/>&lt;&lt;endl;</highlight></codeline>
<codeline lineno="30"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/></highlight></codeline>
<codeline lineno="31"><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="32"><highlight class="normal"><sp/><sp/><sp/><sp/><sp/><sp/><sp/><sp/>cout<sp/>&lt;&lt;<sp/>str<sp/>&lt;&lt;endl;</highlight></codeline>
<codeline lineno="33"><highlight class="normal">}</highlight></codeline>
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