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Timestamp:
02/16/09 10:02:08 (15 years ago)
Author:
smidl
Message:

Changes in the very root classes!
* rv and rvc are no longer compulsory,
* samplecond does not return ll
* BM has drv

Files:
1 modified

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  • doc/html/classbdm_1_1ARX.html

    r269 r270  
    2929</div> 
    3030<div class="contents"> 
    31 <h1>bdm::ARX Class Reference</h1><!-- doxytag: class="bdm::ARX" --><!-- doxytag: inherits="bdm::BMEF" -->Linear Autoregressive model with Gaussian noise.   
    32 <a href="#_details">More...</a> 
    33 <p> 
    34 <code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code> 
     31<h1>bdm::ARX Class Reference</h1><!-- doxytag: class="bdm::ARX" --><!-- doxytag: inherits="bdm::BMEF" --><code>#include &lt;<a class="el" href="arx_8h-source.html">arx.h</a>&gt;</code> 
    3532<p> 
    3633<div class="dynheader"> 
    … …  
    4138<area shape="rect" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family." alt="" coords="15,161,108,188"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="23,84,100,111"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="5,7,117,33"></map> 
    4239<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    43 <div class="dynheader"> 
    44 Collaboration diagram for bdm::ARX:</div> 
    45 <div class="dynsection"> 
    46 <p><center><img src="classbdm_1_1ARX__coll__graph.png" border="0" usemap="#bdm_1_1ARX__coll__map" alt="Collaboration graph"></center> 
    47 <map name="bdm_1_1ARX__coll__map"> 
    48 <area shape="rect" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family." alt="" coords="15,332,108,359"><area shape="rect" href="classbdm_1_1BM.html" title="Bayesian Model of a system, i.e. all uncertainty is modeled by probabilities." alt="" coords="5,199,83,225"><area shape="rect" href="classbdm_1_1bdmroot.html" title="Root class of BDM objects." alt="" coords="55,7,167,33"><area shape="rect" href="classbdm_1_1RV.html" title="Class representing variables, most often random variables." alt="" coords="73,87,148,113"><area shape="rect" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density." alt="" coords="107,199,192,225"><area shape="rect" href="classldmat.html" title="Matrix stored in LD form, (commonly known as UD)." alt="" coords="213,279,272,305"><area shape="rect" href="classbdm_1_1egiw.html" title="Gauss&#45;inverse&#45;Wishart density stored in LD form." alt="" coords="108,385,193,412"><area shape="rect" href="classsqmat.html" title="Virtual class for representation of double symmetric matrices in square&#45;root form..." alt="" coords="216,199,277,225"><area shape="rect" href="classbdm_1_1eEF.html" title="General conjugate exponential family posterior density." alt="" coords="109,279,189,305"></map> 
    49 <center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div> 
    50  
    51 <p> 
    52 <a href="classbdm_1_1ARX-members.html">List of all members.</a><table border="0" cellpadding="0" cellspacing="0"> 
     40 
     41<p> 
     42<a href="classbdm_1_1ARX-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2> 
     43Linear Autoregressive model with Gaussian noise.  
     44<p> 
     45Regression of the following kind: <p class="formulaDsp"> 
     46<img class="formulaDsp" alt="\[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \]" src="form_61.png"> 
     47<p> 
     48 where unknown parameters <code>rv</code> are <img class="formulaInl" alt="$[\theta r]$" src="form_51.png">, regression vector <img class="formulaInl" alt="$\psi=\psi(y_{1:t},u_{1:t})$" src="form_52.png"> is a known function of past outputs and exogeneous variables <img class="formulaInl" alt="$u_t$" src="form_53.png">. Distrubances <img class="formulaInl" alt="$e_t$" src="form_54.png"> are supposed to be normally distributed: <p class="formulaDsp"> 
     49<img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_62.png"> 
     50<p> 
     51<p> 
     52Extension for time-variant parameters <img class="formulaInl" alt="$\theta_t,r_t$" src="form_55.png"> may be achived using exponential forgetting (Kulhavy and Zarrop, 1993). In such a case, the forgetting factor <code>frg</code> <img class="formulaInl" alt="$\in <0,1>$" src="form_56.png"> should be given in the constructor. Time-invariant parameters are estimated for <code>frg</code> = 1. <table border="0" cellpadding="0" cellspacing="0"> 
    5353<tr><td></td></tr> 
    5454<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr> 
    55 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="44914d0b259204b3446db82b989bd626"></a><!-- doxytag: member="bdm::ARX::ARX" ref="44914d0b259204b3446db82b989bd626" args="(const RV &amp;rv, const mat &amp;V0, const double &amp;nu0, const double frg0=1.0)" --> 
    56 &nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#44914d0b259204b3446db82b989bd626">ARX</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>, const mat &amp;V0, const double &amp;nu0, const double frg0=1.0)</td></tr> 
     55<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="43ed6114f04a3a8756fe2b42eaa35f98"></a><!-- doxytag: member="bdm::ARX::ARX" ref="43ed6114f04a3a8756fe2b42eaa35f98" args="(const double frg0=1.0)" --> 
     56&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#43ed6114f04a3a8756fe2b42eaa35f98">ARX</a> (const double frg0=1.0)</td></tr> 
    5757 
    5858<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Full constructor. <br></td></tr> 
    … …  
    6161 
    6262<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Copy constructor. <br></td></tr> 
    63 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="20ff2de8d862f28de7da83444d65bcdb"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="20ff2de8d862f28de7da83444d65bcdb" args="(bool changerv=false)" --> 
    64 <a class="el" href="classbdm_1_1ARX.html">ARX</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#20ff2de8d862f28de7da83444d65bcdb">_copy_</a> (bool changerv=false)</td></tr> 
     63<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="60c40b5c6abc4c7e464b4ccae64a5a61"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="60c40b5c6abc4c7e464b4ccae64a5a61" args="()" --> 
     64<a class="el" href="classbdm_1_1ARX.html">ARX</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#60c40b5c6abc4c7e464b4ccae64a5a61">_copy_</a> ()</td></tr> 
    6565 
    6666<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Auxiliary function. <br></td></tr> 
    … …  
    8585<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Incremental Bayes rule.  <a href="#8bdf2974052e8ce74eb0d4f3791c58a3"></a><br></td></tr> 
    8686<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="16797df43f85f1ddbe9d64fd6d82c25d"></a><!-- doxytag: member="bdm::ARX::_epdf" ref="16797df43f85f1ddbe9d64fd6d82c25d" args="() const " --> 
    87 const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#16797df43f85f1ddbe9d64fd6d82c25d">_epdf</a> () const </td></tr> 
    88  
    89 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a reference to the <a class="el" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. <br></td></tr> 
     87const <a class="el" href="classbdm_1_1epdf.html">epdf</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_epdf</b> () const </td></tr> 
     88 
    9089<tr><td class="memItemLeft" nowrap align="right" valign="top">double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#080a7e531e3aa06694112863b15bc6a4">logpred</a> (const vec &amp;dt) const </td></tr> 
    9190 
    … …  
    9493 
    9594<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior according to the given <a class="el" href="classbdm_1_1BMEF.html" title="Estimator for Exponential family.">BMEF</a> (of the same type!). <br></td></tr> 
    96 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7c8d1fe774fe1da50293d50ad8aef43d"></a><!-- doxytag: member="bdm::ARX::predictor" ref="7c8d1fe774fe1da50293d50ad8aef43d" args="(const RV &amp;rv0, const vec &amp;rgr) const " --> 
    97 <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#7c8d1fe774fe1da50293d50ad8aef43d">predictor</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv0, const vec &amp;rgr) const </td></tr> 
     95<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="749827323c034f11bec61b6e2fc3d42a"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="749827323c034f11bec61b6e2fc3d42a" args="(const vec &amp;rgr) const " --> 
     96<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#749827323c034f11bec61b6e2fc3d42a">epredictor</a> (const vec &amp;rgr) const </td></tr> 
    9897 
    9998<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Conditioned version of the predictor. <br></td></tr> 
    100 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5b73b70457f49ce4ad8660d729172dfd"></a><!-- doxytag: member="bdm::ARX::predictor" ref="5b73b70457f49ce4ad8660d729172dfd" args="(const RV &amp;rv0) const " --> 
    101 <a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#5b73b70457f49ce4ad8660d729172dfd">predictor</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv0) const </td></tr> 
    102  
    103 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density (marginal density on data). <br></td></tr> 
    104 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="02d9e91f21a700947a7b7eec1beed956"></a><!-- doxytag: member="bdm::ARX::predictor" ref="02d9e91f21a700947a7b7eec1beed956" args="(const RV &amp;rv0, const RV &amp;rvc0) const " --> 
    105 <a class="el" href="classbdm_1_1mlnorm.html">mlnorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#02d9e91f21a700947a7b7eec1beed956">predictor</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv0, const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rvc0) const </td></tr> 
    106  
    107 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor <br></td></tr> 
    108 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2ce8c6599497ffb94dfcb66d1fe7aca6"></a><!-- doxytag: member="bdm::ARX::predictor_student" ref="2ce8c6599497ffb94dfcb66d1fe7aca6" args="(const RV &amp;rv0, const RV &amp;rvc0) const " --> 
    109 <a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv0, const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rvc0) const </td></tr> 
     99<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4cdf5e2a7d3480ec31f6247ed4289b15"></a><!-- doxytag: member="bdm::ARX::epredictor" ref="4cdf5e2a7d3480ec31f6247ed4289b15" args="() const " --> 
     100<a class="el" href="classbdm_1_1enorm.html">enorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#4cdf5e2a7d3480ec31f6247ed4289b15">epredictor</a> () const </td></tr> 
     101 
     102<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Constructs a predictive density <img class="formulaInl" alt="$ f(d_{t+1} |d_{t}, \ldots d_{0}) $" src="form_112.png">. <br></td></tr> 
     103<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="classbdm_1_1mlnorm.html">mlnorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#74fe8ae2d88bee8639510fd0eaf73513">predictor</a> () const </td></tr> 
     104 
     105<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">conditional version of the predictor  <a href="#74fe8ae2d88bee8639510fd0eaf73513"></a><br></td></tr> 
     106<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c6a2428a46407fe45b4c7a99069c0801"></a><!-- doxytag: member="bdm::ARX::predictor_student" ref="c6a2428a46407fe45b4c7a99069c0801" args="() const " --> 
     107<a class="el" href="classbdm_1_1mlstudent.html">mlstudent</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>predictor_student</b> () const </td></tr> 
    110108 
    111109<tr><td class="memItemLeft" nowrap align="right" valign="top">ivec&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#16b02ae03316751664c22d59d90c1e34">structure_est</a> (<a class="el" href="classbdm_1_1egiw.html">egiw</a> Eg0)</td></tr> 
    … …  
    113111<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Brute force structure estimation.  <a href="#16b02ae03316751664c22d59d90c1e34"></a><br></td></tr> 
    114112<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ab2c55205a324e9d698fbd8ac229ad4f"></a><!-- doxytag: member="bdm::ARX::_e" ref="ab2c55205a324e9d698fbd8ac229ad4f" args="() const " --> 
    115 const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1ARX.html#ab2c55205a324e9d698fbd8ac229ad4f">_e</a> () const </td></tr> 
    116  
    117 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Returns a pointer to the <a class="el" href="classbdm_1_1epdf.html" title="Probability density function with numerical statistics, e.g. posterior density.">epdf</a> representing posterior density on parameters. Use with care! <br></td></tr> 
     113const <a class="el" href="classbdm_1_1egiw.html">egiw</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><b>_e</b> () const </td></tr> 
     114 
     115<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5912dbcf28ae711e30b08c2fa766a3e6"></a><!-- doxytag: member="bdm::ARX::_copy_" ref="5912dbcf28ae711e30b08c2fa766a3e6" args="(bool changerv=false)" --> 
     116<a class="el" href="classbdm_1_1BMEF.html">BMEF</a> *&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BMEF.html#5912dbcf28ae711e30b08c2fa766a3e6">_copy_</a> (bool changerv=false)</td></tr> 
     117 
     118<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Flatten the posterior as if to keep nu0 data. <br></td></tr> 
     119<tr><td colspan="2"><div class="groupHeader">Mathematical operations</div></td></tr> 
    118120<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1dee3fddaf021e62d925289660a707dc"></a><!-- doxytag: member="bdm::ARX::bayesB" ref="1dee3fddaf021e62d925289660a707dc" args="(const mat &amp;Dt)" --> 
    119121virtual void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#1dee3fddaf021e62d925289660a707dc">bayesB</a> (const mat &amp;Dt)</td></tr> 
    … …  
    124126 
    125127<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Matrix version of logpred. <br></td></tr> 
    126 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="40a3c891996391e3135518053a917793"></a><!-- doxytag: member="bdm::ARX::_rv" ref="40a3c891996391e3135518053a917793" args="() const " --> 
    127 const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#40a3c891996391e3135518053a917793">_rv</a> () const </td></tr> 
    128  
    129 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     128<tr><td colspan="2"><div class="groupHeader">Access to attributes</div></td></tr> 
    130129<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ff2d8755ba0b3def927d31305c03b09c"></a><!-- doxytag: member="bdm::ARX::_drv" ref="ff2d8755ba0b3def927d31305c03b09c" args="() const " --> 
    131 const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#ff2d8755ba0b3def927d31305c03b09c">_drv</a> () const </td></tr> 
    132  
    133 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     130const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;&nbsp;</td><td class="memItemRight" valign="bottom"><b>_drv</b> () const </td></tr> 
     131 
    134132<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f135ae6dce7e9f30c9f88229c7930b96"></a><!-- doxytag: member="bdm::ARX::set_drv" ref="f135ae6dce7e9f30c9f88229c7930b96" args="(const RV &amp;rv)" --> 
    135 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#f135ae6dce7e9f30c9f88229c7930b96">set_drv</a> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;<a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a>)</td></tr> 
    136  
    137 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">set drv <br></td></tr> 
     133void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_drv</b> (const <a class="el" href="classbdm_1_1RV.html">RV</a> &amp;rv)</td></tr> 
     134 
    138135<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5be65d37dedfe33a3671e7065f523a70"></a><!-- doxytag: member="bdm::ARX::_ll" ref="5be65d37dedfe33a3671e7065f523a70" args="() const " --> 
    139 double&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#5be65d37dedfe33a3671e7065f523a70">_ll</a> () const </td></tr> 
    140  
    141 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     136double&nbsp;</td><td class="memItemRight" valign="bottom"><b>_ll</b> () const </td></tr> 
     137 
    142138<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="236b3abbcc93594fc97cd86d82c1a83f"></a><!-- doxytag: member="bdm::ARX::set_evalll" ref="236b3abbcc93594fc97cd86d82c1a83f" args="(bool evl0)" --> 
    143 void&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#236b3abbcc93594fc97cd86d82c1a83f">set_evalll</a> (bool evl0)</td></tr> 
    144  
    145 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">access function <br></td></tr> 
     139void&nbsp;</td><td class="memItemRight" valign="bottom"><b>set_evalll</b> (bool evl0)</td></tr> 
     140 
    146141<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr> 
    147142<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11474a627367f81b76830cb8477cf026"></a><!-- doxytag: member="bdm::ARX::est" ref="11474a627367f81b76830cb8477cf026" args="" --> 
    … …  
    165160 
    166161<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">cached value of lognc() in the previous step (used in evaluation of <code>ll</code> ) <br></td></tr> 
    167 <tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="18d6db4af8ee42077741d9e3618153ca"></a><!-- doxytag: member="bdm::ARX::rv" ref="18d6db4af8ee42077741d9e3618153ca" args="" --> 
    168 <a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#18d6db4af8ee42077741d9e3618153ca">rv</a></td></tr> 
    169  
    170 <tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">Random variable of the posterior. <br></td></tr> 
    171162<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c400357e37d27a4834b2b1d9211009ed"></a><!-- doxytag: member="bdm::ARX::drv" ref="c400357e37d27a4834b2b1d9211009ed" args="" --> 
    172163<a class="el" href="classbdm_1_1RV.html">RV</a>&nbsp;</td><td class="memItemRight" valign="bottom"><a class="el" href="classbdm_1_1BM.html#c400357e37d27a4834b2b1d9211009ed">drv</a></td></tr> 
    … …  
    182173<tr><td class="mdescLeft">&nbsp;</td><td class="mdescRight">If true, the filter will compute likelihood of the data record and store it in <code>ll</code> . Set to false if you want to save computational time. <br></td></tr> 
    183174</table> 
    184 <hr><a name="_details"></a><h2>Detailed Description</h2> 
    185 Linear Autoregressive model with Gaussian noise.  
    186 <p> 
    187 Regression of the following kind: <p class="formulaDsp"> 
    188 <img class="formulaDsp" alt="\[ y_t = \theta_1 \psi_1 + \theta_2 + \psi_2 +\ldots + \theta_n \psi_n + r e_t \]" src="form_61.png"> 
    189 <p> 
    190  where unknown parameters <code>rv</code> are <img class="formulaInl" alt="$[\theta r]$" src="form_51.png">, regression vector <img class="formulaInl" alt="$\psi=\psi(y_{1:t},u_{1:t})$" src="form_52.png"> is a known function of past outputs and exogeneous variables <img class="formulaInl" alt="$u_t$" src="form_53.png">. Distrubances <img class="formulaInl" alt="$e_t$" src="form_54.png"> are supposed to be normally distributed: <p class="formulaDsp"> 
    191 <img class="formulaDsp" alt="\[ e_t \sim \mathcal{N}(0,1). \]" src="form_62.png"> 
    192 <p> 
    193 <p> 
    194 Extension for time-variant parameters <img class="formulaInl" alt="$\theta_t,r_t$" src="form_55.png"> may be achived using exponential forgetting (Kulhavy and Zarrop, 1993). In such a case, the forgetting factor <code>frg</code> <img class="formulaInl" alt="$\in <0,1>$" src="form_56.png"> should be given in the constructor. Time-invariant parameters are estimated for <code>frg</code> = 1. <hr><h2>Member Function Documentation</h2> 
     175<hr><h2>Member Function Documentation</h2> 
    195176<a class="anchor" name="8bdf2974052e8ce74eb0d4f3791c58a3"></a><!-- doxytag: member="bdm::ARX::bayes" ref="8bdf2974052e8ce74eb0d4f3791c58a3" args="(const vec &amp;dt)" --> 
    196177<div class="memitem"> 
    … …  
    244225<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#50257e0c1e5b5c73153ea6e716ad8ae0">bdm::BM</a>.</p> 
    245226 
    246 <p>References <a class="el" href="libEF_8h-source.html#l00206">bdm::egiw::_nu()</a>, <a class="el" href="libEF_8h-source.html#l00202">bdm::egiw::_V()</a>, <a class="el" href="arx_8h-source.html#l00038">est</a>, <a class="el" href="libBM_8h-source.html#l00510">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00077">bdm::BMEF::frg</a>, <a class="el" href="libEF_8h-source.html#l00079">bdm::BMEF::last_lognc</a>, <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>, <a class="el" href="arx_8h-source.html#l00042">nu</a>, <a class="el" href="libDC_8cpp-source.html#l00058">ldmat::opupdt()</a>, <a class="el" href="libEF_8h-source.html#l00208">bdm::egiw::pow()</a>, and <a class="el" href="arx_8h-source.html#l00040">V</a>.</p> 
     227<p>References <a class="el" href="libEF_8h-source.html#l00204">bdm::egiw::_nu()</a>, <a class="el" href="libEF_8h-source.html#l00202">bdm::egiw::_V()</a>, <a class="el" href="arx_8h-source.html#l00038">est</a>, <a class="el" href="libBM_8h-source.html#l00583">bdm::BM::evalll</a>, <a class="el" href="libEF_8h-source.html#l00077">bdm::BMEF::frg</a>, <a class="el" href="libEF_8h-source.html#l00079">bdm::BMEF::last_lognc</a>, <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>, <a class="el" href="arx_8h-source.html#l00042">nu</a>, <a class="el" href="libDC_8cpp-source.html#l00058">ldmat::opupdt()</a>, <a class="el" href="libEF_8h-source.html#l00197">bdm::egiw::pow()</a>, and <a class="el" href="arx_8h-source.html#l00040">V</a>.</p> 
     228 
     229</div> 
     230</div><p> 
     231<a class="anchor" name="74fe8ae2d88bee8639510fd0eaf73513"></a><!-- doxytag: member="bdm::ARX::predictor" ref="74fe8ae2d88bee8639510fd0eaf73513" args="() const " --> 
     232<div class="memitem"> 
     233<div class="memproto"> 
     234      <table class="memname"> 
     235        <tr> 
     236          <td class="memname"><a class="el" href="classbdm_1_1mlnorm.html">mlnorm</a>&lt; <a class="el" href="classldmat.html">ldmat</a> &gt; * bdm::ARX::predictor           </td> 
     237          <td>(</td> 
     238          <td class="paramname">          </td> 
     239          <td>&nbsp;)&nbsp;</td> 
     240          <td> const<code> [virtual]</code></td> 
     241        </tr> 
     242      </table> 
     243</div> 
     244<div class="memdoc"> 
     245 
     246<p> 
     247conditional version of the predictor  
     248<p> 
     249 
     250<p> 
     251&lt;----------- TODO  
     252<p>Reimplemented from <a class="el" href="classbdm_1_1BM.html#598b25e3f3d96a5bc00a5faeb5b3c912">bdm::BM</a>.</p> 
     253 
     254<p>References <a class="el" href="libBM_8h-source.html#l00272">bdm::epdf::dimension()</a>, <a class="el" href="arx_8h-source.html#l00038">est</a>, <a class="el" href="libEF_8cpp-source.html#l00107">bdm::egiw::mean_mat()</a>, <a class="el" href="libDC_8h-source.html#l00289">ldmat::rows()</a>, <a class="el" href="libEF_8h-source.html#l00762">bdm::mlnorm&lt; sq_T &gt;::set_parameters()</a>, and <a class="el" href="arx_8h-source.html#l00040">V</a>.</p> 
    247255 
    248256</div> 
    … …  
    269277<dl class="return" compact><dt><b>Returns:</b></dt><dd>indeces of accepted regressors. </dd></dl> 
    270278 
    271 <p>References <a class="el" href="libBM_8h-source.html#l00086">bdm::RV::count()</a>, <a class="el" href="bdm_2estim_2arx_8cpp-source.html#l00130">bdm::egiw_bestbelow()</a>, <a class="el" href="arx_8h-source.html#l00038">est</a>, and <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>.</p> 
     279<p>References <a class="el" href="libBM_8h-source.html#l00272">bdm::epdf::dimension()</a>, <a class="el" href="bdm_2estim_2arx_8cpp-source.html#l00132">bdm::egiw_bestbelow()</a>, <a class="el" href="arx_8h-source.html#l00038">est</a>, and <a class="el" href="libEF_8cpp-source.html#l00044">bdm::egiw::lognc()</a>.</p> 
    272280 
    273281</div> 
    … …  
    276284<li><a class="el" href="arx_8h-source.html">arx.h</a><li>bdm/estim/arx.cpp</ul> 
    277285</div> 
    278 <hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 10:20:26 2009 for mixpp by&nbsp; 
     286<hr size="1"><address style="text-align: right;"><small>Generated on Wed Feb 11 23:34:01 2009 for mixpp by&nbsp; 
    279287<a href="http://www.doxygen.org/index.html"> 
    280288<img src="doxygen.png" alt="doxygen" align="middle" border="0"></a> 1.5.6 </small></address>