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Merge commit 'origin/stable'
[pspp-builds.git]
/
src
/
math
/
ts
/
innovations.c
diff --git
a/src/math/ts/innovations.c
b/src/math/ts/innovations.c
index 44fa09816568b17d84b604a25390a946686c1dd9..3ab2f3edce165ed0a709688e711867986683eee3 100644
(file)
--- a/
src/math/ts/innovations.c
+++ b/
src/math/ts/innovations.c
@@
-1,22
+1,19
@@
-/*
- src/math/ts/innovations.c
+/*
PSPP - a program for statistical analysis.
+ Copyright (C) 2006 Free Software Foundation, Inc.
- Copyright (C) 2006 Free Software Foundation, Inc. Written by Jason H. Stover.
+ This program is free software: you can redistribute it and/or modify
+ it under the terms of the GNU General Public License as published by
+ the Free Software Foundation, either version 3 of the License, or
+ (at your option) any later version.
- This program is free software; you can redistribute it and/or modify it under
- the terms of the GNU General Public License as published by the Free
- Software Foundation; either version 2 of the License, or (at your option)
-
any later version
.
+ This program is distributed in the hope that it will be useful,
+ but WITHOUT ANY WARRANTY; without even the implied warranty of
+ MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
+
GNU General Public License for more details
.
- This program is distributed in the hope that it will be useful, but WITHOUT
- ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
- FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for
- more details.
+ You should have received a copy of the GNU General Public License
+ along with this program. If not, see <http://www.gnu.org/licenses/>. */
- You should have received a copy of the GNU General Public License along with
- this program; if not, write to the Free Software Foundation, Inc., 51
- Franklin Street, Fifth Floor, Boston, MA 02111-1307, USA.
- */
/*
Find preliminary ARMA coefficients via the innovations algorithm.
Also compute the sample mean and covariance matrix for each series.
/*
Find preliminary ARMA coefficients via the innovations algorithm.
Also compute the sample mean and covariance matrix for each series.
@@
-29,15
+26,19
@@
*/
#include <config.h>
*/
#include <config.h>
+
+#include <math.h>
+#include <stdlib.h>
+
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_vector.h>
#include <gsl/gsl_matrix.h>
#include <gsl/gsl_vector.h>
-#include <gsl/gsl_math.h>
-#include <stdlib.h>
-#include <libpspp/alloc.h>
#include <libpspp/compiler.h>
#include <libpspp/compiler.h>
+#include <libpspp/misc.h>
#include <math/coefficient.h>
#include <math/ts/innovations.h>
#include <math/coefficient.h>
#include <math/ts/innovations.h>
+#include "xalloc.h"
+
static void
get_mean (const gsl_matrix *data,
struct innovations_estimate **est)
static void
get_mean (const gsl_matrix *data,
struct innovations_estimate **est)
@@
-58,7
+59,7
@@
get_mean (const gsl_matrix *data,
for (n = 0; n < data->size2; n++)
{
tmp = gsl_matrix_get (data, i, n);
for (n = 0; n < data->size2; n++)
{
tmp = gsl_matrix_get (data, i, n);
- if (!
gsl_
isnan (tmp))
+ if (!isnan (tmp))
{
est[n]->n_obs += 1.0;
d = (tmp - est[n]->mean) / est[n]->n_obs;
{
est[n]->n_obs += 1.0;
d = (tmp - est[n]->mean) / est[n]->n_obs;
@@
-79,9
+80,9
@@
update_cov (struct innovations_estimate **est, gsl_vector_const_view x,
{
xj = gsl_vector_get (&x.vector, j);
yj = gsl_vector_get (&y.vector, j);
{
xj = gsl_vector_get (&x.vector, j);
yj = gsl_vector_get (&y.vector, j);
- if (!
gsl_
isnan (xj))
+ if (!isnan (xj))
{
{
- if (!
gsl_
isnan (yj))
+ if (!isnan (yj))
{
xj -= est[j]->mean;
yj -= est[j]->mean;
{
xj -= est[j]->mean;
yj -= est[j]->mean;
@@
-163,7
+164,7
@@
innovations_update_scale (struct innovations_estimate *est, double *theta,
for (j = 0; j < i; j++)
{
k = i - j - 1;
for (j = 0; j < i; j++)
{
k = i - j - 1;
- result -=
theta[k] * theta[k]
* est->scale[j];
+ result -=
pow2 (theta[k])
* est->scale[j];
}
est->scale[i] = result;
}
}
est->scale[i] = result;
}