From 7496b3a78aafe5c66790f805ef2de1437340a73a Mon Sep 17 00:00:00 2001 From: Jason Stover 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 0a07f8cb..5a4f81e3 100644 --- a/src/math/ts/ChangeLog +++ b/src/math/ts/ChangeLog @@ -1,3 +1,13 @@ +2006-07-02 Jason Stover + + * 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 * 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 13128445..0b1ccd63 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