bdm::BMEF Class Reference
Estimator for Exponential family. More...
#include <libEF.h>
Public Member Functions | |
| BMEF (double frg0=1.0) | |
| Default constructor (=empty 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_ () const |
| Flatten the posterior as if to keep nu0 data. | |
| virtual string | ToString () |
| This method returns a basic info about the current instance. | |
| virtual void | from_setting (const Setting &root) |
| This method arrange instance properties according the data stored in the Setting structure. | |
| virtual void | to_setting (Setting &root) const |
| This method save all the instance properties into the Setting structure. | |
Mathematical operations | |
| virtual void | bayesB (const mat &Dt) |
| Batch Bayes rule (columns of Dt are observations). | |
| virtual double | logpred (const vec &dt) const |
| vec | logpred_m (const mat &dt) const |
| Matrix version of logpred. | |
| virtual epdf * | epredictor () const |
Constructs a predictive density  . | |
| virtual mpdf * | predictor () const |
| Constructs a conditional density 1-step ahead predictor. | |
Access to attributes | |
| const RV & | _drv () const |
| void | set_drv (const RV &rv) |
| void | set_rv (const RV &rv) |
| double | _ll () const |
| void | set_evalll (bool evl0) |
| virtual const epdf & | posterior () const =0 |
| virtual const epdf * | _e () const =0 |
Protected Attributes | |
| double | frg |
| forgetting factor | |
| double | last_lognc |
cached value of lognc() in the previous step (used in evaluation of ll ) | |
| 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. | |
Extension to conditional BM | |
| This extension is useful e.g. in Marginalized Particle Filter (bdm::MPF). Alternatively, it can be used for automated connection to DS when the condition is observed | |
| const RV & | _rvc () const |
| access function | |
| virtual void | condition (const vec &val) |
Substitute val for rvc. | |
| RV | rvc |
| Name of extension variable. | |
Logging of results | |
| virtual void | set_options (const string &opt) |
| Set boolean options from a string recognized are: "logbounds,logll". | |
| virtual void | log_add (logger &L, const string &name="") |
| Add all logged variables to a logger. | |
| virtual void | logit (logger &L) |
| ivec | LIDs |
| IDs of storages in loggers 4:[1=mean,2=lb,3=ub,4=ll]. | |
| ivec | LFlags |
| Flags for logging - same size as LIDs, each entry correspond to the same in LIDs. | |
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
