From 39929aa077830c708adcc5dfd224fd973428d0bc Mon Sep 17 00:00:00 2001 From: Jason Stover Date: Sun, 16 Jul 2006 12:19:23 +0000 Subject: [PATCH] fixed and tested computation of coefficients --- src/math/ts/ChangeLog | 5 +++++ src/math/ts/innovations.c | 23 ++++++++++++++--------- 2 files changed, 19 insertions(+), 9 deletions(-) diff --git a/src/math/ts/ChangeLog b/src/math/ts/ChangeLog index d40070a0..18948856 100644 --- a/src/math/ts/ChangeLog +++ b/src/math/ts/ChangeLog @@ -1,3 +1,8 @@ +2006-07-16 Jason Stover + + * innovations.c (get_coef): Fixed diagonal elements and call to + innovations_convolve(). + 2006-07-15 Jason Stover * innovations.c (get_covariance): Fixed computation of diff --git a/src/math/ts/innovations.c b/src/math/ts/innovations.c index 089665ac..00d366ce 100644 --- a/src/math/ts/innovations.c +++ b/src/math/ts/innovations.c @@ -114,7 +114,7 @@ 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), gsl_matrix_const_row (data, i + lag), lag); @@ -132,15 +132,19 @@ 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; } @@ -187,12 +191,13 @@ 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); } -- 2.30.2