added initial innovations functions

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

diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c
index 43d86ec1677c8c9bb381f59b23109da8f09940f5..6870c4e4d37c4fcd601ca5c556996ae3bdea7235 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 +170,50 @@ 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][i-k] * theta[j][i-j] * est->cov[k];
+    }
+  return result;
+}
+static void
+get_coef (size_t n_vars, const struct casefile *cf, 
+               struct innovations_estimate **est, size_t max_lag)
+{
+  int j;
+  int i;
+  int k;
+  size_t n;
+  double v;
+  double **theta;
+
+  for (n = 0; n < n_vars; n++)
+    {
+      for (i = 0; i < max_lag; i++)
+       {
+         v = est[n]->cov[i];
+         for (j = 0; j < i; j++)
+           {
+             k = i - j;
+             theta[i][k] = est[n]->cov[k] - 
+               innovations_convolve (theta, est, i, j);
+           }
+       }
+    }
+}
 
-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;
@@ -202,11 +243,9 @@ 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;
 }