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    18 <h1>work/git/mixpp/bdm/estim/arx.h</h1><a href="arx_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001  
     19<h1>arx.h</h1><a href="arx_8h.html">Go to the documentation of this file.</a><div class="fragment"><pre class="fragment"><a name="l00001"></a>00001  
    1920<a name="l00013"></a>00013 <span class="preprocessor">#ifndef AR_H</span> 
    2021<a name="l00014"></a>00014 <span class="preprocessor"></span><span class="preprocessor">#define AR_H</span> 
    2122<a name="l00015"></a>00015 <span class="preprocessor"></span> 
    22 <a name="l00016"></a>00016 <span class="preprocessor">#include &lt;itpp/itbase.h&gt;</span> 
    23 <a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libFN.h"</span> 
    24 <a name="l00018"></a>00018 <span class="preprocessor">#include "../stat/libEF.h"</span> 
    25 <a name="l00019"></a>00019  
    26 <a name="l00020"></a>00020 <span class="keyword">namespace </span>bdm{ 
    27 <a name="l00021"></a>00021  
    28 <a name="l00036"></a><a class="code" href="classbdm_1_1ARX.html">00036</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> { 
    29 <a name="l00037"></a>00037 <span class="keyword">protected</span>: 
    30 <a name="l00039"></a><a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026">00039</a>         <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>; 
    31 <a name="l00041"></a><a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd">00041</a>         <a class="code" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &amp;<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>; 
    32 <a name="l00043"></a><a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">00043</a>         <span class="keywordtype">double</span> &amp;<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>; 
    33 <a name="l00044"></a>00044 <span class="keyword">public</span>: 
    34 <a name="l00046"></a><a class="code" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626">00046</a>         <a class="code" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626" title="Full constructor.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;<a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>, <span class="keyword">const</span> mat &amp;V0, <span class="keyword">const</span> <span class="keywordtype">double</span> &amp;nu0, <span class="keyword">const</span> <span class="keywordtype">double</span> frg0=1.0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( rv,frg0 ),<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ( rv,V0,nu0 ), <a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) 
    35 <a name="l00047"></a>00047         {<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();}; 
    36 <a name="l00048"></a>00048  
    37 <a name="l00050"></a><a class="code" href="classbdm_1_1ARX.html#73a55a3d66bfbeeee4df6c2ae40920ed">00050</a>         <a class="code" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626" title="Full constructor.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> &amp;A0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( A0),<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ( <a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>,A0.<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>,A0.<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ), <a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) {}; 
    38 <a name="l00051"></a>00051  
    39 <a name="l00053"></a>00053         <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* <a class="code" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb" title="Auxiliary function.">_copy_</a>(<span class="keywordtype">bool</span> changerv=<span class="keyword">false</span>); 
    40 <a name="l00054"></a>00054          
    41 <a name="l00055"></a>00055 <span class="comment">//      //! Set parameters given by moments, \c mu (mean of theta), \c R (mean of R) and \c C (variance of theta)</span> 
    42 <a name="l00056"></a>00056 <span class="comment">//      void set_parameters ( const vec &amp;mu, const mat &amp;R, const mat &amp;C, double dfm){};</span> 
    43 <a name="l00058"></a><a class="code" href="classbdm_1_1ARX.html#cab0a1de5355b1027d24fd3d4862c9b0">00058</a> <span class="comment"></span>        <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#cab0a1de5355b1027d24fd3d4862c9b0" title="Set sufficient statistics.">set_parameters</a> ( <span class="keyword">const</span> <a class="code" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &amp;V0, <span class="keyword">const</span> <span class="keywordtype">double</span> &amp;nu0 ) 
    44 <a name="l00059"></a>00059         {<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#15792f3112e5cf67d572f491b09324c8" title="returns a pointer to the internal statistics. Use with Care!">_V</a>() =V0;<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a025ee710274ca142dd0ae978735ad4a" title="returns a pointer to the internal statistics. Use with Care!">_nu</a>() =nu0;<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();} 
    45 <a name="l00060"></a>00060         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#539f9d0127423c94b912708d390e67b8" title="get statistics from another model">set_statistics</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* BM0 ); 
    46 <a name="l00062"></a><a class="code" href="classbdm_1_1ARX.html#1974409e022ea1efb3404b5c2fde66ad">00062</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#1974409e022ea1efb3404b5c2fde66ad" title="Returns sufficient statistics.">get_parameters</a> ( mat &amp;V0, <span class="keywordtype">double</span> &amp;nu0 ) {V0=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#15792f3112e5cf67d572f491b09324c8" title="returns a pointer to the internal statistics. Use with Care!">_V</a>().<a class="code" href="classldmat.html#2c1ebc071de4bafbba55b80afd8a7e8e" title="Conversion to full matrix.">to_mat</a>(); nu0=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a025ee710274ca142dd0ae978735ad4a" title="returns a pointer to the internal statistics. Use with Care!">_nu</a>();} 
    47 <a name="l00064"></a>00064         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt, <span class="keyword">const</span> <span class="keywordtype">double</span> w ); 
    48 <a name="l00065"></a><a class="code" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3">00065</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) {<a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Here .">bayes</a> ( dt,1.0 );}; 
    49 <a name="l00066"></a><a class="code" href="classbdm_1_1ARX.html#16797df43f85f1ddbe9d64fd6d82c25d">00066</a>         <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classbdm_1_1ARX.html#16797df43f85f1ddbe9d64fd6d82c25d" title="Returns a reference to the epdf representing posterior density on parameters.">_epdf</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;} 
    50 <a name="l00067"></a>00067         <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">logpred</a> ( <span class="keyword">const</span> vec &amp;dt ) <span class="keyword">const</span>; 
    51 <a name="l00068"></a><a class="code" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca">00068</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca" title="Flatten the posterior according to the given BMEF (of the same type!).">flatten</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* B ) { 
    52 <a name="l00069"></a>00069                 <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* A=<span class="keyword">dynamic_cast&lt;</span><span class="keyword">const </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>*<span class="keyword">&gt;</span>(B); 
    53 <a name="l00070"></a>00070                 <span class="comment">// nu should be equal to B.nu</span> 
    54 <a name="l00071"></a>00071                 <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#8e610e95401a11baf34f65e16ecd87be" title="Power of the density, used e.g. to flatten the density.">pow</a> ( A-&gt;<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>/<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>); 
    55 <a name="l00072"></a>00072                 <span class="keywordflow">if</span>(<a class="code" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>){<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();} 
    56 <a name="l00073"></a>00073         } 
    57 <a name="l00075"></a>00075         <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditional version of the predictor.">predictor</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0, <span class="keyword">const</span> vec &amp;rgr) <span class="keyword">const</span>;  
    58 <a name="l00076"></a><a class="code" href="classbdm_1_1ARX.html#5b73b70457f49ce4ad8660d729172dfd">00076</a>         <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditional version of the predictor.">predictor</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0)<span class="keyword"> const </span>{it_assert_debug(rv0.<a class="code" href="classbdm_1_1RV.html#2174751a00ce19f941edd2c1a861be67" title="Return number of scalars in the RV.">count</a>()==<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>.<a class="code" href="group__math.html#g96dfb21865db4f5bd36fa70f9b0b1163" title="access function">rows</a>()-1,<span class="stringliteral">"Regressor is not only 1"</span>);<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditional version of the predictor.">predictor</a>(rv0,vec_1(1.0));} 
    59 <a name="l00077"></a>00077         <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditional version of the predictor.">predictor</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvc0) <span class="keyword">const</span>; 
     23<a name="l00016"></a>00016 <span class="preprocessor">#include "../stat/libFN.h"</span> 
     24<a name="l00017"></a>00017 <span class="preprocessor">#include "../stat/libEF.h"</span> 
     25<a name="l00018"></a>00018  
     26<a name="l00019"></a>00019 <span class="keyword">namespace </span>bdm{ 
     27<a name="l00020"></a>00020  
     28<a name="l00035"></a><a class="code" href="classbdm_1_1ARX.html">00035</a> <span class="keyword">class </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>: <span class="keyword">public</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> { 
     29<a name="l00036"></a>00036 <span class="keyword">protected</span>: 
     30<a name="l00038"></a><a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026">00038</a>         <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>; 
     31<a name="l00040"></a><a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd">00040</a>         <a class="code" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &amp;<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>; 
     32<a name="l00042"></a><a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f">00042</a>         <span class="keywordtype">double</span> &amp;<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>; 
     33<a name="l00043"></a>00043 <span class="keyword">public</span>: 
     34<a name="l00045"></a><a class="code" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626">00045</a>         <a class="code" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626" title="Full constructor.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;<a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>, <span class="keyword">const</span> mat &amp;V0, <span class="keyword">const</span> <span class="keywordtype">double</span> &amp;nu0, <span class="keyword">const</span> <span class="keywordtype">double</span> frg0=1.0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( rv,frg0 ),<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ( rv,V0,nu0 ), <a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) 
     35<a name="l00046"></a>00046         {<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();}; 
     36<a name="l00047"></a>00047  
     37<a name="l00049"></a><a class="code" href="classbdm_1_1ARX.html#73a55a3d66bfbeeee4df6c2ae40920ed">00049</a>         <a class="code" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626" title="Full constructor.">ARX</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a> &amp;A0 ) : <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> ( A0),<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a> ( <a class="code" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca" title="Random variable of the posterior.">rv</a>,A0.<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>,A0.<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ), <a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._V() ), <a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a> ( <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>._nu() ) {}; 
     38<a name="l00050"></a>00050  
     39<a name="l00052"></a>00052         <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* <a class="code" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb" title="Auxiliary function.">_copy_</a>(<span class="keywordtype">bool</span> changerv=<span class="keyword">false</span>); 
     40<a name="l00053"></a>00053          
     41<a name="l00054"></a>00054 <span class="comment">//      //! Set parameters given by moments, \c mu (mean of theta), \c R (mean of R) and \c C (variance of theta)</span> 
     42<a name="l00055"></a>00055 <span class="comment">//      void set_parameters ( const vec &amp;mu, const mat &amp;R, const mat &amp;C, double dfm){};</span> 
     43<a name="l00057"></a><a class="code" href="classbdm_1_1ARX.html#cab0a1de5355b1027d24fd3d4862c9b0">00057</a> <span class="comment"></span>        <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#cab0a1de5355b1027d24fd3d4862c9b0" title="Set sufficient statistics.">set_parameters</a> ( <span class="keyword">const</span> <a class="code" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD).">ldmat</a> &amp;V0, <span class="keyword">const</span> <span class="keywordtype">double</span> &amp;nu0 ) 
     44<a name="l00058"></a>00058         {<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#15792f3112e5cf67d572f491b09324c8" title="returns a pointer to the internal statistics. Use with Care!">_V</a>() =V0;<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a025ee710274ca142dd0ae978735ad4a" title="returns a pointer to the internal statistics. Use with Care!">_nu</a>() =nu0;<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();} 
     45<a name="l00059"></a>00059         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#539f9d0127423c94b912708d390e67b8" title="get statistics from another model">set_statistics</a> ( <span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* BM0 ); 
     46<a name="l00061"></a><a class="code" href="classbdm_1_1ARX.html#1974409e022ea1efb3404b5c2fde66ad">00061</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#1974409e022ea1efb3404b5c2fde66ad" title="Returns sufficient statistics.">get_parameters</a> ( mat &amp;V0, <span class="keywordtype">double</span> &amp;nu0 ) {V0=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#15792f3112e5cf67d572f491b09324c8" title="returns a pointer to the internal statistics. Use with Care!">_V</a>().<a class="code" href="classldmat.html#2c1ebc071de4bafbba55b80afd8a7e8e" title="Conversion to full matrix.">to_mat</a>(); nu0=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#a025ee710274ca142dd0ae978735ad4a" title="returns a pointer to the internal statistics. Use with Care!">_nu</a>();} 
     47<a name="l00063"></a>00063         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt, <span class="keyword">const</span> <span class="keywordtype">double</span> w ); 
     48<a name="l00064"></a><a class="code" href="classbdm_1_1ARX.html#8bdf2974052e8ce74eb0d4f3791c58a3">00064</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Here .">bayes</a> ( <span class="keyword">const</span> vec &amp;dt ) {<a class="code" href="classbdm_1_1ARX.html#17e7fe14654ab3c449846c3f43e66169" title="Here .">bayes</a> ( dt,1.0 );}; 
     49<a name="l00065"></a><a class="code" href="classbdm_1_1ARX.html#16797df43f85f1ddbe9d64fd6d82c25d">00065</a>         <span class="keyword">const</span> <a class="code" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a>&amp; <a class="code" href="classbdm_1_1ARX.html#16797df43f85f1ddbe9d64fd6d82c25d" title="Returns a reference to the epdf representing posterior density on parameters.">_epdf</a>()<span class="keyword"> const </span>{<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>;} 
     50<a name="l00066"></a>00066         <span class="keywordtype">double</span> <a class="code" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">logpred</a> ( <span class="keyword">const</span> vec &amp;dt ) <span class="keyword">const</span>; 
     51<a name="l00067"></a><a class="code" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca">00067</a>         <span class="keywordtype">void</span> <a class="code" href="classbdm_1_1ARX.html#e86ab499b116b837d3163ec852961eca" title="Flatten the posterior according to the given BMEF (of the same type!).">flatten</a> (<span class="keyword">const</span> <a class="code" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a>* B ) { 
     52<a name="l00068"></a>00068                 <span class="keyword">const</span> <a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>* A=<span class="keyword">dynamic_cast&lt;</span><span class="keyword">const </span><a class="code" href="classbdm_1_1ARX.html" title="Linear Autoregressive model with Gaussian noise.">ARX</a>*<span class="keyword">&gt;</span>(B); 
     53<a name="l00069"></a>00069                 <span class="comment">// nu should be equal to B.nu</span> 
     54<a name="l00070"></a>00070                 <a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#8e610e95401a11baf34f65e16ecd87be" title="Power of the density, used e.g. to flatten the density.">pow</a> ( A-&gt;<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>/<a class="code" href="classbdm_1_1ARX.html#740b0582f180ba13cae91d66e9bdb67f" title="cached value of est.nu">nu</a>); 
     55<a name="l00071"></a>00071                 <span class="keywordflow">if</span>(<a class="code" href="classbdm_1_1BM.html#faff0ad12556fe7dc0e2807d4fd938ee" title="If true, the filter will compute likelihood of the data record and store it in ll...">evalll</a>){<a class="code" href="classbdm_1_1BMEF.html#06e7b3ac03e10017d4288c76888e2865" title="cached value of lognc() in the previous step (used in evaluation of ll )">last_lognc</a>=<a class="code" href="classbdm_1_1ARX.html#11474a627367f81b76830cb8477cf026" title="Posterior estimate of  in the form of Normal-inverse Wishart density.">est</a>.<a class="code" href="classbdm_1_1egiw.html#41d72ba7b2abc8a9a4209ffa98ed5633" title="logarithm of the normalizing constant, ">lognc</a>();} 
     56<a name="l00072"></a>00072         } 
     57<a name="l00074"></a>00074         <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditioned version of the predictor.">predictor</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0, <span class="keyword">const</span> vec &amp;rgr) <span class="keyword">const</span>;  
     58<a name="l00075"></a><a class="code" href="classbdm_1_1ARX.html#5b73b70457f49ce4ad8660d729172dfd">00075</a>         <a class="code" href="classbdm_1_1enorm.html" title="Gaussian density with positive definite (decomposed) covariance matrix.">enorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditioned version of the predictor.">predictor</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0)<span class="keyword"> const </span>{it_assert_debug(rv0.<a class="code" href="classbdm_1_1RV.html#2174751a00ce19f941edd2c1a861be67" title="Return number of scalars in the RV.">count</a>()==<a class="code" href="classbdm_1_1ARX.html#de5b7d83ff5d3f5af2f80068db0abdfd" title="cached value of est.V">V</a>.<a class="code" href="group__math.html#g96dfb21865db4f5bd36fa70f9b0b1163" title="access function">rows</a>()-1,<span class="stringliteral">"Regressor is not only 1"</span>);<span class="keywordflow">return</span> <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditioned version of the predictor.">predictor</a>(rv0,vec_1(1.0));} 
     59<a name="l00077"></a>00077         <a class="code" href="classbdm_1_1mlnorm.html" title="Normal distributed linear function with linear function of mean value;.">mlnorm&lt;ldmat&gt;</a>* <a class="code" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d" title="Conditioned version of the predictor.">predictor</a>(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvc0) <span class="keyword">const</span>; 
    6060<a name="l00078"></a>00078         <a class="code" href="classbdm_1_1mlstudent.html">mlstudent</a>* predictor_student(<span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rv0, <span class="keyword">const</span> <a class="code" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables.">RV</a> &amp;rvc0) <span class="keyword">const</span>; 
    6161<a name="l00080"></a>00080         ivec <a class="code" href="classbdm_1_1ARX.html#16b02ae03316751664c22d59d90c1e34" title="Brute force structure estimation.">structure_est</a> ( <a class="code" href="classbdm_1_1egiw.html" title="Gauss-inverse-Wishart density stored in LD form.">egiw</a> Eg0 ); 
    … …  
    6969<a name="l00088"></a>00088  
    7070</pre></div></div> 
    71 <hr size="1"><address style="text-align: right;"><small>Generated on Tue Jan 27 16:29:52 2009 for mixpp by&nbsp; 
     71<hr size="1"><address style="text-align: right;"><small>Generated on Fri Feb 6 15:29:44 2009 for mixpp by&nbsp; 
    7272<a href="http://www.doxygen.org/index.html"> 
    7373<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>