Changeset 723 for library/bdm/estim/arx.h

Timestamp:

11/15/09 23:02:02 (15 years ago)

Author:

smidl

Message:

Big commit of LQG stuff

Files:

• library/bdm/estim/arx.h (modified) (2 diffs)

library/bdm/estim/arx.h

@@ -98 +98 @@
         }
         //! conditional version of the predictor
-        mlnorm<ldmat>* predictor() const;
+        template<class sq_T>
+        shared_ptr<mlnorm<sq_T> > ml_predictor() const;
+        //! fast version of predicto 
+        template<class sq_T>
+        void ml_predictor_update(mlnorm<sq_T> &pred) const;
         mlstudent* predictor_student() const;
         //! Brute force structure estimation.\return indeces of accepted regressors.
@@ -188 +192 @@
 };
 UIREGISTER(ARXfrg);
+
+
+////////////////////
+template<class sq_T>
+shared_ptr< mlnorm<sq_T> > ARX::ml_predictor ( ) const {
+        shared_ptr< mlnorm<sq_T> > tmp = new mlnorm<sq_T> ( );
+        tmp->set_rv(yrv);
+        tmp->set_rvc(_rvc());
+        
+        ml_predictor_update(*tmp);
+        tmp->validate();
+        return tmp;
+}
+
+template<class sq_T>
+void ARX::ml_predictor_update(mlnorm<sq_T> &pred) const {
+        mat mu ( dimy, posterior()._V().rows() - dimy );
+        mat R ( dimy, dimy );
+        
+        est.mean_mat ( mu, R ); //mu =
+        mu = mu.T();
+        //correction for student-t  -- TODO check if correct!!
+        
+        if ( have_constant) { // constant term
+                //Assume the constant term is the last one:
+                pred.set_parameters ( mu.get_cols ( 0, mu.cols() - 2 ), mu.get_col ( mu.cols() - 1 ), sq_T ( R ) );
+        } else {
+                pred.set_parameters ( mu, zeros ( dimy ), sq_T( R ) );
+        }
+}
+
 };
 #endif // AR_H