work/git/mixpp/bdm/estim/arx.h

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#ifndef AR_H
#define AR_H

#include <itpp/itbase.h>
#include "../stat/libFN.h"
#include "../stat/libEF.h"

using namespace itpp;

class ARX: public BM {
protected:
        egiw est;
        ldmat &V;
        double &nu;
        double frg;
        double last_lognc;
        double tll;
public:
        ARX (RV &rv, mat &V0, double &nu0, double frg0=1.0) : BM(rv),est(rv,V0,nu0), V(est._V()), nu(est._nu()), frg(frg0){last_lognc=est.lognc();tll=0.0;};
        void set_parameters(mat &V0, double &nu0){est._V()=V0;est._nu()=nu0;last_lognc=est.lognc();tll=last_lognc;}
        void get_parameters(mat &V0, double &nu0){V0=est._V().to_mat(); nu0=est._nu();}
        void bayes ( const vec &dt );
        epdf& _epdf() {return est;}
        ivec structure_est(egiw Eg0);
        double _tll(){return tll;}
};


#endif // AR_H

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