X-Git-Url: https://pintos-os.org/cgi-bin/gitweb.cgi?a=blobdiff_plain;f=src%2Fmath%2Fts%2Finnovations.c;h=ba2120fb4e6bc735f41d300b5aef406be5c2828d;hb=81579d9e9f994fb2908f50af41c3eb033d216e58;hp=089665acb94bd9ee54b8914f7a472c72af10dd31;hpb=f70f1b22e925d55c246372376de1c6ffaacf8a4b;p=pspp-builds.git

diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 089665ac..ba2120fb 100644
--- a/src/math/ts/innovations.c
+++ b/src/math/ts/innovations.c
@@ -1,22 +1,19 @@
-/*
-  src/math/ts/innovations.c
-  
-  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 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.
-  
-  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.
- */
+/* PSPP - a program for statistical analysis.
+   Copyright (C) 2006, 2011 Free Software Foundation, Inc.
+
+   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 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/>. */
+
 /*
   Find preliminary ARMA coefficients via the innovations algorithm.
   Also compute the sample mean and covariance matrix for each series.
@@ -28,19 +25,25 @@
   0-387-97429-6. Sections 5.2, 8.3 and 8.4.
  */
 
+#include <config.h>
+
+#include "math/ts/innovations.h"
+
 #include <gsl/gsl_matrix.h>
 #include <gsl/gsl_vector.h>
-#include <gsl/gsl_math.h>
+#include <math.h>
 #include <stdlib.h>
-#include <libpspp/alloc.h>
-#include <libpspp/compiler.h>
-#include <math/coefficient.h>
-#include <math/ts/innovations.h>
+
+#include "libpspp/compiler.h"
+#include "libpspp/misc.h"
+#include "math/coefficient.h"
+
+#include "gl/xalloc.h"
 
 static void
 get_mean (const gsl_matrix *data,
 	  struct innovations_estimate **est)
-		   
+
 {
   size_t n;
   size_t i;
@@ -57,7 +60,7 @@ get_mean (const gsl_matrix *data,
       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;
@@ -66,7 +69,7 @@ get_mean (const gsl_matrix *data,
 	}
     }
 }
-static void 
+static void
 update_cov (struct innovations_estimate **est, gsl_vector_const_view x,
 	    gsl_vector_const_view y, size_t lag)
 {
@@ -78,9 +81,9 @@ 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);
-      if (!gsl_isnan (xj))
+      if (!isnan (xj))
 	{
-	  if (!gsl_isnan (yj))
+	  if (!isnan (yj))
 	    {
 	      xj -= est[j]->mean;
 	      yj -= est[j]->mean;
@@ -90,7 +93,7 @@ update_cov (struct innovations_estimate **est, gsl_vector_const_view x,
     }
 }
 static int
-get_covariance (const gsl_matrix *data, 
+get_covariance (const gsl_matrix *data,
 		struct innovations_estimate **est, size_t max_lag)
 {
   size_t lag;
@@ -114,9 +117,9 @@ get_covariance (const gsl_matrix *data,
    */
   for (i = 0; i < data->size1; i++)
     {
-      for (lag = 0; lag < max_lag && lag < data->size1 - i; lag++)
+      for (lag = 0; lag <= max_lag && lag < data->size1 - i; lag++)
 	{
-	  update_cov (est, gsl_matrix_const_row (data, i), 
+	  update_cov (est, gsl_matrix_const_row (data, i),
 		      gsl_matrix_const_row (data, i + lag), lag);
 	}
     }
@@ -132,15 +135,19 @@ get_covariance (const gsl_matrix *data,
 }
 
 static double
-innovations_convolve (double **theta, struct innovations_estimate *est,
-		      int i, int j)
+innovations_convolve (double *x, double *y, struct innovations_estimate *est,
+		      int i)
 {
   int k;
   double result = 0.0;
 
-  for (k = 0; k < j; k++)
+  assert (x != NULL && y != NULL);
+  assert (est != NULL);
+  assert (est->scale != NULL);
+  assert (i > 0);
+  for (k = 0; k < i; k++)
     {
-      result += theta[i-1][i-k-1] * theta[j][j-k-1] * est->scale[k];
+      result += x[k] * y[k] * est->scale[i-k-1];
     }
   return result;
 }
@@ -158,7 +165,7 @@ innovations_update_scale (struct innovations_estimate *est, double *theta,
       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;
     }
@@ -187,15 +194,16 @@ innovations_update_coeff (double **theta, struct innovations_estimate *est,
 
   for (i = 0; i < max_lag; i++)
     {
-      for (j = 0; j <= i; j++)
+      theta[i][i] = est->cov[i+1] / est->scale[0];
+      for (j = 1; j <= i; j++)
 	{
 	  k = i - j;
-	  theta[i][k] = (est->cov[k] - 
-	    innovations_convolve (theta, est, i, j))
-	    / est->scale[k];
+	  theta[i][k] = (est->cov[k+1] -
+			 innovations_convolve (theta[i] + k + 1, theta[j - 1], est, j))
+	    / est->scale[j];
 	}
       innovations_update_scale (est, theta[i], i + 1);
-    }  
+    }
 }
 static void
 get_coef (const gsl_matrix *data,
@@ -226,7 +234,7 @@ get_coef (const gsl_matrix *data,
 	    Let X[m], X[m-1],... denote the original series.
 	    Let X_hat[0] denote the best predicted value of X[0],
 	    X_hat[1] denote the projection of X[1] onto the subspace
-	    spanned by {X[0] - X_hat[0]}. Let X_hat[m] denote the 
+	    spanned by {X[0] - X_hat[0]}. Let X_hat[m] denote the
 	    projection of X[m] onto the subspace spanned by {X[m-1] - X_hat[m-1],
 	    X[m-2] - X_hat[m-2],...,X[0] - X_hat[0]}.
 
@@ -234,9 +242,6 @@ get_coef (const gsl_matrix *data,
 	                  + est->coeff[m-1] * (X[m-2] - X_hat[m-2])
 			  ...
 			  + est->coeff[m-max_lag] * (X[m - max_lag] - X_hat[m - max_lag])
-
-	    (That is what X_hat[m] SHOULD be, anyway. These routines need
-	    to be tested.)
 	   */
 	  pspp_coeff_set_estimate (est[n]->coeff[i], theta[max_lag - 1][i]);
 	}
@@ -250,8 +255,8 @@ get_coef (const gsl_matrix *data,
 }
 
 static void
-innovations_struct_init (struct innovations_estimate *est, 
-			 const struct design_matrix *dm, 
+innovations_struct_init (struct innovations_estimate *est,
+			 const struct design_matrix *dm,
 			 size_t lag)
 {
   size_t j;
@@ -276,8 +281,29 @@ innovations_struct_init (struct innovations_estimate *est,
     }
   est->max_lag = (double) lag;
 }
-      
-struct innovations_estimate ** 
+/*
+  The mean is subtracted from the original data before computing the
+  coefficients. The mean is NOT added back, so if you want to predict
+  a new value, you must add the mean to X_hat[m] to get the correct
+  value.
+ */
+static void
+subtract_mean (gsl_matrix *m, struct innovations_estimate **est)
+{
+  size_t i;
+  size_t j;
+  double tmp;
+
+  for (i = 0; i < m->size1; i++)
+    {
+      for (j = 0; j < m->size2; j++)
+	{
+	  tmp = gsl_matrix_get (m, i, j) - est[j]->mean;
+	  gsl_matrix_set (m, i, j, tmp);
+	}
+    }
+}
+struct innovations_estimate **
 pspp_innovations (const struct design_matrix *dm, size_t lag)
 {
   struct innovations_estimate **est;
@@ -292,13 +318,14 @@ pspp_innovations (const struct design_matrix *dm, size_t lag)
     }
 
   get_mean (dm->m, est);
+  subtract_mean (dm->m, est);
   get_covariance (dm->m, est, lag);
   get_coef (dm->m, est, lag);
-  
+
   return est;
 }
 
-static void 
+static void
 pspp_innovations_free_one (struct innovations_estimate *est)
 {
   size_t i;