Changeset 625 for library/bdm/estim/arx.cpp

Timestamp:

09/18/09 00:17:05 (15 years ago)

Author:

smidl

Message:

ARX re-designed

Files:

• library/bdm/estim/arx.cpp (modified) (9 diffs)

library/bdm/estim/arx.cpp

@@ -5 +5 @@
         double lnc;
 
+                
         if ( frg < 1.0 ) {
                 est.pow ( frg );
@@ -11 +12 @@
                 }
         }
-        V.opupdt ( dt, w );
+        if (have_constant) {
+                _dt.set_subvector(0,dt);
+                V.opupdt ( _dt, w );
+        } else {
+                V.opupdt ( dt, w );
+        }
         nu += w;
 
@@ -78 +84 @@
 mlnorm<ldmat>* ARX::predictor ( ) const {
         int dim = est.dimension();
-        int dif = V.rows() - dim ;///<----------- TODO
-        bdm_assert_debug ( ( dif == 0 ) || ( dif == 1 ), "Give RVs do not match" );
-
+        
         mat mu ( dim, V.rows() - dim );
         mat R ( dim, dim );
@@ -90 +94 @@
         //correction for student-t  -- TODO check if correct!!
 
-        if ( dif == 0 ) { // no constant term
-                tmp->set_parameters ( mu, zeros ( dim ), ldmat ( R ) );
-        } else {
+        if ( have_constant) { // constant term
                 //Assume the constant term is the last one:
                 tmp->set_parameters ( mu.get_cols ( 0, mu.cols() - 2 ), mu.get_col ( mu.cols() - 1 ), ldmat ( R ) );
+        } else {
+                tmp->set_parameters ( mu, zeros ( dim ), ldmat ( R ) );
         }
         return tmp;
@@ -101 +105 @@
 mlstudent* ARX::predictor_student ( ) const {
         int dim = est.dimension();
-        int dif = V.rows() - est.dimension();//-------------TODO
-        bdm_assert_debug ( ( dif == 0 ) || ( dif == 1 ), "Give RVs do not match" );
 
         mat mu ( dim, V.rows() - dim );
@@ -117 +119 @@
 
 
-        if ( dif == 0 ) { // no constant term
-                tmp->set_parameters ( mu, zeros ( xdim ), ldmat ( R ), Lam );
-        } else {
+        if ( have_constant) { // no constant term
                 //Assume the constant term is the last one:
                 if ( mu.cols() > 1 ) {
@@ -126 +126 @@
                         tmp->set_parameters ( mat ( dim, 0 ), mu.get_col ( mu.cols() - 1 ), ldmat ( R ), Lam );
                 }
+        } else {
+                // no constant term
+                tmp->set_parameters ( mu, zeros ( xdim ), ldmat ( R ), Lam );
         }
         return tmp;
@@ -203 +206 @@
 
 void ARX::from_setting ( const Setting &set ) {
-        shared_ptr<RV> yrv = UI::build<RV> ( set, "y", UI::compulsory );
+        shared_ptr<RV> yrv = UI::build<RV> ( set, "rv", UI::compulsory );
         shared_ptr<RV> rrv = UI::build<RV> ( set, "rgr", UI::compulsory );
         int ylen = yrv->_dsize();
+        // rgrlen - including constant!!!
         int rgrlen = rrv->_dsize();
-
+        
+        set_rv ( *yrv, *rrv );
+        
         string opt;
         if ( UI::get(opt, set,  "options", UI::optional) ) {
                 BM::set_options(opt);
         }
+        if (!UI::get(have_constant, set, "constant", UI::optional)){
+                have_constant=true;
+        }
+        if (have_constant) {rgrlen++;_dt=ones(rgrlen+ylen);}
 
         //init
         mat V0;
         vec dV0;
-        if ( !UI::get ( dV0, set, "dV0" ) )
-                dV0 = concat ( 1e-3 * ones ( ylen ), 1e-5 * ones ( rgrlen ) );
-        V0 = diag ( dV0 );
-
+        if (!UI::get(V0, set, "V0",UI::optional)){
+                if ( !UI::get ( dV0, set, "dV0" ) )
+                        dV0 = concat ( 1e-3 * ones ( ylen ), 1e-5 * ones ( rgrlen ) );
+                V0 = diag ( dV0 );
+        }
         double nu0;
         if ( !UI::get ( nu0, set, "nu0" ) )
@@ -230 +241 @@
         set_parameters ( frg );
         set_statistics ( ylen, V0, nu0 );
-        set_drv ( concat ( *yrv, *rrv ) );
-
+        
         //name results (for logging)
-        set_rv ( RV ( "{theta r }", vec_2 ( ylen*rgrlen, ylen*ylen ) ) );
-
-}
-
-}
+        shared_ptr<RV> rv_par=UI::build<RV>(set, "rv_param",UI::optional );
+        if (!rv_par){
+                est.set_rv ( RV ( "{theta r }", vec_2 ( ylen*rgrlen, ylen*ylen ) ) );
+        } else {
+                est.set_rv ( *rv_par );
+        }
+        validate();
+}
+
+}