added new initialization function

[pspp-builds.git] / src / math / ts / innovations.c

diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 131284459096b2056b79c86e92b3b290c09bfea4..4fc48c575b81e461123ce4ee93fd6690a59011da 100644 (file)
--- a/src/math/ts/innovations.c
+++ b/src/math/ts/innovations.c
@@ -97,20 +97,20 @@ get_covariance (const gsl_matrix *data,
          if (!gsl_isnan (x))
            {
              x -= est[j]->mean;
-             for (lag = 1; lag <= max_lag && lag < data->size1 - max_lag; lag++)
+             for (lag = 1; lag <= max_lag && lag < (data->size1 - i); lag++)
                {
                  y = gsl_matrix_get (data, i + lag, j);
                  if (!gsl_isnan (y))
                    {
                      y -= est[j]->mean;
-                     *(est[j]->cov + lag) += y * x;
-                     est[i]->n_obs += 1.0;
+                     *(est[j]->cov + lag - 1) += y * x;
+                     est[j]->n_obs += 1.0;
                    }
                }
            }
        }
     }
-  for (lag = 0; lag <= max_lag && lag < data->size1 - max_lag; lag++)
+  for (lag = 1; lag <= max_lag; lag++)
     {
       for (j = 0; j < data->size2; j++)
        {
@@ -126,9 +126,9 @@ innovations_convolve (double **theta, struct innovations_estimate *est,
   int k;
   double result = 0.0;
 
-  for (k = 0; k < i; k++)
+  for (k = 0; k < j; k++)
     {
-      result += theta[i-1][i-k-1] * theta[j-1][j-k-1] * est->scale[k];
+      result += theta[i-1][i-k-1] * theta[j][j-k-1] * est->scale[k];
     }
   return result;
 }
@@ -141,53 +141,67 @@ innovations_update_scale (struct innovations_estimate *est, double *theta,
   size_t k;
 
 
-  result = est->cov[0];
+  result = est->variance;
   for (j = 0; j < i; j++)
     {
-      k = i - j;
+      k = i - j - 1;
       result -= theta[k] * theta[k] * est->scale[j];
     }
   est->scale[i] = result;
 }
+static void
+init_theta (double **theta, size_t max_lag)
+{
+  size_t i;
+  size_t j;
 
+  for (i = 0; i < max_lag; i++)
+    {
+      for (j = 0; j <= i; j++)
+       {
+         theta[i][j] = 0.0;
+       }
+    }
+}
+static void
+innovations_update_coeff (double **theta, struct innovations_estimate *est,
+                         size_t max_lag)
+{
+  size_t i;
+  size_t j;
+  size_t k;
+
+  for (i = 0; i < max_lag; i++)
+    {
+      for (j = 0; j <= i; j++)
+       {
+         k = i - j;
+         theta[i][k] = (est->cov[k] - 
+           innovations_convolve (theta, est, i, j))
+           / est->scale[k];
+       }
+      innovations_update_scale (est, theta[i], i + 1);
+    }  
+}
 static void
 get_coef (const gsl_matrix *data,
          struct innovations_estimate **est, size_t max_lag)
 {
-  size_t j;
   size_t i;
-  size_t k;
   size_t n;
-  double v;
   double **theta;
 
   theta = xnmalloc (max_lag, sizeof (*theta));
   for (i = 0; i < max_lag; i++)
     {
-      theta[i] = xnmalloc (i+1, sizeof (theta[i]));
-
+      theta[i] = xnmalloc (max_lag, sizeof (**(theta + i)));
     }
+
   for (n = 0; n < data->size2; n++)
     {
-      for (i = 0; i < max_lag; i++)
-       {
-         for (j = 0; j < i; j++)
-           {
-             theta[i][j] = 0.0;
-           }
-       }
+      init_theta (theta, max_lag);
       innovations_update_scale (est[n], theta[0], 0);
-      for (i = 0; i < max_lag; i++)
-       {
-         v = est[n]->cov[i];
-         for (j = 0; j < i; j++)
-           {
-             k = i - j;
-             theta[i-1][k-1] = est[n]->cov[k] - 
-               innovations_convolve (theta, est[n], i, j);
-           }
-         innovations_update_scale (est[n], theta[i], i);
-       }
+      innovations_update_coeff (theta, est[n], max_lag);
       /* Copy the final row of coefficients into EST->COEFF.*/
       for (i = 0; i < max_lag; i++)
        {
@@ -213,6 +227,7 @@ get_coef (const gsl_matrix *data,
          pspp_coeff_set_estimate (est[n]->coeff[i], theta[max_lag - 1][i]);
        }
     }
+
   for (i = 0; i < max_lag; i++)
     {
       free (theta[i]);
@@ -220,27 +235,37 @@ get_coef (const gsl_matrix *data,
   free (theta);
 }
 
+static void
+innovations_struct_init (struct innovations_estimate *est, size_t lag)
+{
+  size_t j;
+
+  est->mean = 0.0;
+  est->variance = 0.0;
+  est->cov = xnmalloc (lag, sizeof (*est->cov));
+  est->scale = xnmalloc (lag, sizeof (*est->scale));
+  est->coeff = xnmalloc (lag, sizeof (*est->coeff));
+  est->max_lag = (double) lag;
+  /* COV does not the variance (i.e., the lag 0 covariance). So COV[0]
+     holds the lag 1 covariance, COV[i] holds the lag i+1 covariance. */
+  for (j = 0; j < lag; j++)
+    {
+      est->coeff[j] = xmalloc (sizeof (*(est->coeff[j])));
+    }
+}
+      
 struct innovations_estimate ** 
 pspp_innovations (const gsl_matrix *data, size_t lag)
 {
   struct innovations_estimate **est;
   size_t i;
-  size_t j;
 
   est = xnmalloc (data->size2, sizeof *est);
   for (i = 0; i < data->size2; i++)
     {
-      est[i] = xmalloc (sizeof **est);
+      est[i] = xmalloc (sizeof *est[i]);
 /*       est[i]->variable = vars[i]; */
-      est[i]->mean = 0.0;
-      est[i]->variance = 0.0;
-      est[i]->cov = xnmalloc (lag, sizeof (*est[i]->cov));
-      est[i]->scale = xnmalloc (lag, sizeof (*est[i]->scale));
-      est[i]->coeff = xnmalloc (lag, sizeof (*est[i]->coeff));
-      for (j = 0; j < lag; j++)
-       {
-         est[i]->coeff[j] = xmalloc (sizeof (*(est[i]->coeff + j)));
-       }
+      innovations_struct_init (est[i], lag);
     }
 
   get_mean_variance (data, est);
@@ -249,3 +274,29 @@ pspp_innovations (const gsl_matrix *data, size_t lag)
   
   return est;
 }
+
+static void 
+pspp_innovations_free_one (struct innovations_estimate *est)
+{
+  size_t i;
+
+  assert (est != NULL);
+  free (est->cov);
+  free (est->scale);
+  for (i = 0; i < (size_t) est->max_lag; i++)
+    {
+      pspp_coeff_free (est->coeff[i]);
+    }
+}
+
+void pspp_innovations_free (struct innovations_estimate **est, size_t n)
+{
+  size_t i;
+
+  assert (est != NULL);
+  for (i = 0; i < n; i++)
+    {
+      pspp_innovations_free_one (est[i]);
+    }
+  free (est);
+}