Changeset 330

Timestamp:

04/28/09 16:39:40 (15 years ago)

Author:

dedecius

Message:

Added methods egiw::est_theta() for LS estimate of theta and egiw::est_theta_cov() for covariance of the LS estimate.

Location:

bdm/stat

Files:

• libEF.cpp (modified) (2 diffs)
• libEF.h (modified) (1 diff)

bdm/stat/libEF.cpp

@@ -63 +63 @@
 }
 
+vec egiw::est_theta() const {
+        if ( dimx==1 ) {
+                const mat &L = V._L();
+                int end = L.rows() - 1;
+
+                mat iLsub = ltuinv ( L ( dimx,end,dimx,end ) );
+
+                vec L0 = L.get_col(0);
+
+                return iLsub * L0(1,end);
+        }
+        else {
+                it_error("ERROR: est_theta() not implemented for dimx>1");
+                return 0;
+        }
+}
+
+ldmat egiw::est_theta_cov() const {
+        if ( dimx == 1 ) {
+                const mat &L = V._L();
+                const vec &D = V._D();
+                int end = D.length() - 1;
+
+                mat Lsub = L ( 1, end, 1, end);
+                mat Dsub = diag(D(1, end));
+
+                return inv( transpose(Lsub) * Dsub * Lsub );
+
+        }
+        else {
+                it_error("ERROR: est_theta_cov() not implemented for dimx>1");
+                return 0;
+        }
+
+}
+
 vec egiw::mean() const {
 
         if ( dimx==1 ) {
-                const mat &L= V._L();
                 const vec &D= V._D();
-                int end = L.rows()-1;
+                int end = D.length()-1;
 
                 vec m ( dim );
-                mat iLsub = ltuinv ( L ( dimx,end,dimx,end ) );
-
-                vec L0 = L.get_col ( 0 );
-
-                m.set_subvector ( 0,iLsub*L0 ( 1,end ) );
+                m.set_subvector ( 0, est_theta() );
                 m ( end ) = D ( 0 ) / ( nu -nPsi -2*dimx -2 );
                 return m;
@@ -102 +133 @@
                 return var;
         }
-        else {it_error("not implemneted"); return vec(0);}
+        else {it_error("not implemented"); return vec(0);}
 }
 

bdm/stat/libEF.h

@@ -201 +201 @@
                         vec mean() const;
                         vec variance() const;
+
+                        //! LS estimate of \f$\theta\f$
+                        vec est_theta() const;
+
+                        //! Covariance of the LS estimate
+                        ldmat est_theta_cov() const;
+
                         void mean_mat ( mat &M, mat&R ) const;
                         //! In this instance, val= [theta, r]. For multivariate instances, it is stored columnwise val = [theta_1 theta_2 ... r_1 r_2 ]