Changeset 964 for library/bdm/estim/arx.h

Timestamp:

05/21/10 00:44:04 (14 years ago)

Author:

smidl

Message:

Corrections in ARX and PF

Files:

• library/bdm/estim/arx.h (modified) (6 diffs)

library/bdm/estim/arx.h

@@ -47 +47 @@
         //! vector of dyadic update
         vec dyad;
+        //! length of the regressor
+        int rgrlen;
         //! posterior density
         egiw est;
@@ -54 +56 @@
         //! \name Constructors
         //!@{
-        ARX ( const double frg0 = 1.0 ) : BMEF ( frg0 ),  have_constant ( true ), dyad(), est(), alter_est() {};
-        ARX ( const ARX &A0 ) : BMEF ( A0 ),  have_constant ( A0.have_constant ), dyad ( A0.dyad ), est ( A0.est ), alter_est ( A0.alter_est ) { };
+        ARX ( const double frg0 = 1.0 ) : BMEF ( frg0 ),  have_constant ( true ), dyad(), rgrlen(),est(), alter_est() {};
+        ARX ( const ARX &A0 ) : BMEF ( A0 ),  have_constant ( A0.have_constant ), dyad ( A0.dyad ),rgrlen(A0.rgrlen), est ( A0.est ), alter_est ( A0.alter_est ) { };
 
         ARX* _copy() const;
@@ -115 +117 @@
         \code
         class = 'ARX';
-        rv    = RV({names_of_dt} )                 // description of output variables
+        yrv   = RV({names_of_dt} )                 // description of output variables
         rgr   = RV({names_of_regressors}, [-1,-2]} // description of regressor variables
         constant = 1;                              // 0/1 switch if the constant term is modelled or not
@@ -125 +127 @@
         frg = 1.0;                                 // forgetting, default frg=1.0
 
-        rv_param   = RV({names_of_parameters}}     // description of parametetr names
-                                                                                           // default: ["theta_i" and "r_i"]
+        rv  = RV({names_of_parameters}}            // description of parametetr names
+                                                                                           // default: [""]
         \endcode
         */
@@ -133 +135 @@
         void validate() {
                 BMEF::validate();       
-
+                est.validate();
                 //if dimc not set set it from V
                 if ( dimc == 0 ) {
@@ -192 +194 @@
 
         void bayes ( const vec &val, const vec &cond ) {
-                frg = cond ( dimc - 1 ); //  last in cond is phi
-                ARX::bayes ( val, cond );
+                int arx_cond_size=rgrlen -int(have_constant==true);
+                bdm_assert_debug(cond.size()>arx_cond_size, "ARXfrg: Insufficient conditioning, frg not given.");
+                frg = cond ( arx_cond_size ); // the first part after rgrlen
+                ARX::bayes ( val, cond.left(arx_cond_size) );
         }
         void validate() {