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

Timestamp:

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

Author:

smidl

Message:

ARX re-designed

Files:

• library/bdm/estim/arx.h (modified) (5 diffs)

library/bdm/estim/arx.h

@@ -48 +48 @@
         //! Do NOT access directly, only via \c get_yrv().
         RV _yrv;
+        //! rv of regressor
+        RV rgrrv;
         //! Posterior estimate of \f$\theta,r\f$ in the form of Normal-inverse Wishart density
         egiw est;
@@ -54 +56 @@
         //! cached value of est.nu
         double ν
+        //! switch if constant is modelled or not
+        bool have_constant;
+        //! cached value of data vector for have_constant =true
+        vec _dt;
 public:
         //! \name Constructors
@@ -73 +79 @@
         //!@}
 
-//      //! Set parameters given by moments, \c mu (mean of theta), \c R (mean of R) and \c C (variance of theta)
-//      void set_parameters ( const vec &mu, const mat &R, const mat &C, double dfm){};
         //! Set sufficient statistics
         void set_statistics ( const BMEF* BM0 );
-//      //! Returns sufficient statistics
-//      void get_parameters ( mat &V0, double &nu0 ) {V0=est._V().to_mat(); nu0=est._nu();}
+
         //!\name Mathematical operations
         //!@{
@@ -121 +124 @@
         //!\name Connection
         //!@{
-        void set_drv ( const RV &drv0 ) {
-                drv = drv0;
+        void set_rv ( const RV &yrv0 , const RV &rgrrv0 ) {
+                _yrv = yrv0;
+                rgrrv=rgrrv0;
+                set_drv(concat(yrv0, rgrrv));
         }
 
@@ -140 +145 @@
         //!@}
 
-        // TODO dokumentace - aktualizovat
         /*! UI for ARX estimator
 
-        The ARX is constructed from a structure with fields:
         \code
-        estimator = {
-                class = "ARX";
-                y = {type="rv", ...}   // description of output variables
-                rgr = {type="rv", ...} // description of regressor variables
-                constant = true;       // boolean switch if the constant term is modelled or not
+        class = 'ARX';
+        rv    = RV({names_of_dt} )                 // description of output variables
+        rgr   = RV({names_of_regressors}, [-1,-2]} // description of regressor variables
+        constant = true;                           // boolean switch if the constant term is modelled or not
 
-                //optional fields
-                dV0 = [1e-3, 1e-5, 1e-5, 1e-5];
-                                                           // default: 1e-3 for y, 1e-5 for rgr
-                nu0 = 6;               // default: rgrlen + 2
-                frg = 1.0;             // forgetting, default frg=1.0
-        };
+        --- optional ---
+        V0  = [1 0;0 1];                           // Initial value of information matrix V
+          --- OR ---
+        dV0 = [1e-3, 1e-5, 1e-5, 1e-5];            // Initial value of diagonal of information matrix V
+                                                                                           // default: 1e-3 for rv, 1e-5 for rgr
+        nu0 = 6;                                                   // initial value of nu, default: rgrlen + 2
+        frg = 1.0;                                 // forgetting, default frg=1.0
+
+        rv_param   = RV({names_of_parameters}}     // description of parametetr names 
+                                                                                           // default: ["theta_i" and "r_i"]
         \endcode
-
-        The estimator will assign names of the posterior in the form ["theta_i" and "r_i"]
         */
         void from_setting ( const Setting &set );
 
+        void validate() {
+                bdm_assert(dimx == _yrv._dsize(), "RVs of parameters and regressor do not match");
+                
+        }
 };