}
}
}
- for (lag = 1; lag <= max_lag; lag++)
+ for (j = 0; j < data->size2; j++)
{
- for (j = 0; j < data->size2; j++)
- {
- *(est[j]->cov + lag) /= (est[j]->n_obs - lag);
- }
+ *(est[j]->cov + lag - 1) /= est[j]->n_obs;
}
+
return rc;
}
static double
size_t j;
size_t k;
-
- result = est->variance;
- for (j = 0; j < i; j++)
+ if (i < (size_t) est->max_lag)
{
- k = i - j - 1;
- result -= theta[k] * theta[k] * est->scale[j];
+ result = est->variance;
+ for (j = 0; j < i; j++)
+ {
+ k = i - j - 1;
+ result -= theta[k] * theta[k] * est->scale[j];
+ }
+ est->scale[i] = result;
}
- est->scale[i] = result;
}
static void
init_theta (double **theta, size_t max_lag)
est->mean = 0.0;
est->variance = 0.0;
est->cov = xnmalloc (lag, sizeof (*est->cov));
- est->scale = xnmalloc (lag, sizeof (*est->scale));
+ est->scale = xnmalloc (lag + 1, 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]
}
struct innovations_estimate **
-pspp_innovations (const gsl_matrix *data, size_t lag)
+pspp_innovations (const struct design_matrix *dm, size_t lag)
{
struct innovations_estimate **est;
size_t i;
- est = xnmalloc (data->size2, sizeof *est);
- for (i = 0; i < data->size2; i++)
+ est = xnmalloc (dm->m->size2, sizeof *est);
+ for (i = 0; i < dm->m->size2; i++)
{
est[i] = xmalloc (sizeof *est[i]);
/* est[i]->variable = vars[i]; */
innovations_struct_init (est[i], lag);
}
- get_mean_variance (data, est);
- get_covariance (data, est, lag);
- get_coef (data, est, lag);
+ get_mean_variance (dm->m, est);
+ get_covariance (dm->m, est, lag);
+ get_coef (dm->m, est, lag);
return 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]);
}
+ free (est->scale);
+ free (est->cov);
+ free (est);
}
void pspp_innovations_free (struct innovations_estimate **est, size_t n)