added scale update to innovations algorithm

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

diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 43d86ec1677c8c9bb381f59b23109da8f09940f5..792bc6c8659a7d84aef55a284070e7a2b986c4e9 100644 (file)
--- a/src/math/ts/innovations.c
+++ b/src/math/ts/innovations.c
@@ -1,5 +1,5 @@
 /*
-  src/math/time-series/arma/innovations.c
+  src/math/ts/innovations.c
   
   Copyright (C) 2006 Free Software Foundation, Inc. Written by Jason H. Stover.
   
@@ -170,9 +170,88 @@ get_covariance (size_t n_vars, const struct casefile *cf,
     }
   free (c);
 }
+static double
+innovations_convolve (double **theta, struct innovations_estimate *est,
+                     int i, int j)
+{
+  int k;
+  double result = 0.0;
+
+  for (k = 0; k < i; k++)
+    {
+      result += theta[i-1][i-k-1] * theta[j-1][j-k-1] * est->scale[k];
+    }
+  return result;
+}
+static void
+innovations_update_scale (struct innovations_estimate *est, double *theta,
+                         size_t i)
+{
+  double result = 0.0;
+  size_t j;
+  size_t k;
+
+
+  result = est->cov[0];
+  for (j = 0; j < i; j++)
+    {
+      k = i - j;
+      result -= theta[k] * theta[k] * est->scale[j];
+    }
+  est->scale[i] = result;
+}
+
+static void
+get_coef (size_t n_vars, const struct casefile *cf, 
+               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]));
+
+    }
+  for (n = 0; n < n_vars; n++)
+    {
+      for (i = 0; i < max_lag; i++)
+       {
+         for (j = 0; j < i; j++)
+           {
+             theta[i][j] = 0.0;
+           }
+       }
+      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);
+       }
+    }
+  for (i = 0; i < max_lag; i++)
+    {
+      free (theta[i]);
+    }
+  free (theta);
+}
 
-struct innovations_estimate ** pspp_innovations (const struct variable **vars, size_t *n_vars,
-                                                size_t lag, const struct casefile *cf)
+struct innovations_estimate ** 
+pspp_innovations (const struct variable **vars, 
+                 size_t *n_vars,
+                 size_t lag, 
+                 const struct casefile *cf)
 {
   struct innovations_estimate **est;
   size_t i;
@@ -187,7 +266,8 @@ struct innovations_estimate ** pspp_innovations (const struct variable **vars, s
          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]->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++)
            {
@@ -202,11 +282,9 @@ struct innovations_estimate ** pspp_innovations (const struct variable **vars, s
        }
     }
 
-  /*
-    First data pass to get the mean and variance.
-   */
   get_mean_variance (*n_vars, cf, est);
   get_covariance (*n_vars, cf, est, lag);
+  get_coef (*n_vars, cf, est, lag);
   
   return est;
 }