From 7496b3a78aafe5c66790f805ef2de1437340a73a Mon Sep 17 00:00:00 2001
From: Jason Stover <jhs@math.gcsu.edu>
Date: Sun, 2 Jul 2006 23:13:23 +0000
Subject: [PATCH] fixed subscript in sum; added new functions; fixed allocation
of theta
---
src/math/ts/ChangeLog | 10 ++++++
src/math/ts/innovations.c | 68 ++++++++++++++++++++++++---------------
2 files changed, 52 insertions(+), 26 deletions(-)
diff --git a/src/math/ts/ChangeLog b/src/math/ts/ChangeLog
index 0a07f8cb77..5a4f81e3ad 100644
--- a/src/math/ts/ChangeLog
+++ b/src/math/ts/ChangeLog
@@ -1,3 +1,13 @@
+2006-07-02 Jason Stover <jhs@math.gcsu.edu>
+
+ * innovations.c (get_coef): Moved instructions to
+ innovations_update_coeff() and init_theta().
+ * innovations.c (get_coef): Fixed allocation of theta.
+ * innovations.c (innovations_update_theta): New function.
+ * innovations.c (init_theta): New function.
+ * innovations.c (innovations_convolve): Fixed upper bound of
+ subscript in sum.
+
2006-07-01 Jason Stover <jhs@math.gcsu.edu>
* innovations.c: Use gsl_matrices to avoid use of casefiles by
diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 1312844590..0b1ccd63aa 100644
--- a/src/math/ts/innovations.c
+++ b/src/math/ts/innovations.c
@@ -104,7 +104,7 @@ get_covariance (const gsl_matrix *data,
{
y -= est[j]->mean;
*(est[j]->cov + lag) += y * x;
- est[i]->n_obs += 1.0;
+ est[j]->n_obs += 1.0;
}
}
}
@@ -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;
}
@@ -149,45 +149,60 @@ innovations_update_scale (struct innovations_estimate *est, double *theta,
}
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;
+ double v;
+
+ for (i = 0; i < max_lag; i++)
+ {
+ v = est->cov[i];
+ for (j = 0; j < i; j++)
+ {
+ k = i - j;
+ theta[i-1][k-1] = est->cov[k] -
+ innovations_convolve (theta, est, i, j);
+ }
+ innovations_update_scale (est, theta[i], i);
+ }
+}
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 (i + 1, 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 +228,7 @@ 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]);
--
2.30.2