bdm::BMEF Class Reference
Estimator for Exponential family. More...
#include <libEF.h>
Inheritance diagram for bdm::BMEF:
Collaboration diagram for bdm::BMEF:
Public Member Functions | |
| BMEF (const RV &rv, double frg0=1.0) | |
| Default constructor. | |
| BMEF (const BMEF &B) | |
| Copy constructor. | |
| virtual void | set_statistics (const BMEF *BM0) |
| get statistics from another model | |
| virtual void | bayes (const vec &data, const double w) |
| Weighted update of sufficient statistics (Bayes rule). | |
| void | bayes (const vec &dt) |
| Incremental Bayes rule. | |
| virtual void | flatten (const BMEF *B) |
| Flatten the posterior according to the given BMEF (of the same type!). | |
| BMEF * | _copy_ (bool changerv=false) |
| Flatten the posterior as if to keep nu0 data. | |
| virtual void | bayesB (const mat &Dt) |
| Batch Bayes rule (columns of Dt are observations). | |
| virtual const epdf & | _epdf () const =0 |
| Returns a reference to the epdf representing posterior density on parameters. | |
| virtual const epdf * | _e () const =0 |
| Returns a pointer to the epdf representing posterior density on parameters. Use with care! | |
| virtual double | logpred (const vec &dt) const |
| vec | logpred_m (const mat &dt) const |
| Matrix version of logpred. | |
| virtual epdf * | predictor (const RV &rv) const |
| Constructs a predictive density (marginal density on data). | |
| const RV & | _rv () const |
| access function | |
| const RV & | _drv () const |
| access function | |
| void | set_drv (const RV &rv) |
| set drv | |
| double | _ll () const |
| access function | |
| void | set_evalll (bool evl0) |
| access function | |
Protected Attributes | |
| double | frg |
| forgetting factor | |
| double | last_lognc |
cached value of lognc() in the previous step (used in evaluation of ll ) | |
| RV | rv |
| Random variable of the posterior. | |
| RV | drv |
| Random variable of the data (optional). | |
| double | ll |
| Logarithm of marginalized data likelihood. | |
| bool | evalll |
If true, the filter will compute likelihood of the data record and store it in ll . Set to false if you want to save computational time. | |
Detailed Description
Estimator for Exponential family.Member Function Documentation
| void bdm::BMEF::bayes | ( | const vec & | dt | ) | [virtual] |
Incremental Bayes rule.
- Parameters:
-
dt vector of input data
Implements bdm::BM.
Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.
References bayes().
| virtual double bdm::BM::logpred | ( | const vec & | dt | ) | const [inline, virtual, inherited] |
Evaluates predictive log-likelihood of the given data record I.e. marginal likelihood of the data with the posterior integrated out.
Reimplemented in bdm::ARX, bdm::MixEF, and bdm::multiBM.
Referenced by bdm::BM::logpred_m().
The documentation for this class was generated from the following files:
- libEF.h
- libEF.cpp
