save coefficients in innovations estimate structure

diff --git a/src/math/ts/ChangeLog b/src/math/ts/ChangeLog
index e5b715fc31573bd5d9cd55f31f5a2b75ddf7c9d8..e2880996651d9d916fa1a3625a84220320078e8f 100644 (file)
--- a/src/math/ts/ChangeLog
+++ b/src/math/ts/ChangeLog
@@ -1,6 +1,8 @@
 2006-06-21  Jason Stover  <jhs@math.gcsu.edu>
 
        * innovations.c (innovations_update_scale): New function.
+       * innovations.c (get_coef): Save computed coefficients in est->coeff.
+
        * innovations.c (get_coef): Initialize and free the innovations
        coefficients. Call innovations_update_scale ().
 

diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 792bc6c8659a7d84aef55a284070e7a2b986c4e9..a1a544a1a1a5717102dc3186389a1fe16691b3c1 100644 (file)
--- a/src/math/ts/innovations.c
+++ b/src/math/ts/innovations.c
@@ -239,6 +239,30 @@ get_coef (size_t n_vars, const struct casefile *cf,
            }
          innovations_update_scale (est[n], theta[i], i);
        }
+      /* Copy the final row of coefficients into EST->COEFF.*/
+      for (i = 0; i < max_lag; i++)
+       {
+         /*
+           The order of storage here means that the best predicted value
+           for the time series is computed as follows:
+
+           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 
+           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]}.
+
+           Then X_hat[m] = est->coeff[m-1] * (X[m-1] - X_hat[m-1])
+                         + 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]);
+       }
     }
   for (i = 0; i < max_lag; i++)
     {