fixed subscript in sum; added new functions; fixed allocation of theta

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

diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 131284459096b2056b79c86e92b3b290c09bfea4..0b1ccd63aa6bbcd5aeca8710deb51ceec7ef769c 100644 (file)
--- 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]);