[Pspp-cvs] pspp/src/math/ts ChangeLog innovations.c

[Jason H Stover]

CVSROOT:        /cvsroot/pspp
Module name:    pspp
Changes by:     Jason H Stover <jstover>        06/06/21 08:54:46

Modified files:
        src/math/ts    : ChangeLog innovations.c 

Log message:
        added scale update to innovations algorithm

CVSWeb URLs:
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/ChangeLog?cvsroot=pspp&r1=1.4&r2=1.5
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/innovations.c?cvsroot=pspp&r1=1.4&r2=1.5

Patches:
Index: ChangeLog
===================================================================
RCS file: /cvsroot/pspp/pspp/src/math/ts/ChangeLog,v
retrieving revision 1.4
retrieving revision 1.5
diff -u -b -r1.4 -r1.5
--- ChangeLog   16 Jun 2006 09:24:35 -0000      1.4
+++ ChangeLog   21 Jun 2006 08:54:46 -0000      1.5
@@ -1,3 +1,9 @@
+2006-06-21  Jason Stover  <address@hidden>
+
+       * innovations.c (innovations_update_scale): New function.
+       * innovations.c (get_coef): Initialize and free the innovations
+       coefficients. Call innovations_update_scale ().
+
 2006-06-16  Jason Stover  <address@hidden>
 
        * innovations.c (innovations_convolve): New function.

Index: innovations.c
===================================================================
RCS file: /cvsroot/pspp/pspp/src/math/ts/innovations.c,v
retrieving revision 1.4
retrieving revision 1.5
diff -u -b -r1.4 -r1.5
--- innovations.c       16 Jun 2006 09:18:34 -0000      1.4
+++ innovations.c       21 Jun 2006 08:54:46 -0000      1.5
@@ -179,34 +179,72 @@
 
   for (k = 0; k < i; k++)
     {
-      result += theta[i][i-k] * theta[j][i-j] * est->cov[k];
+      result += theta[i-1][i-k-1] * theta[j-1][j-k-1] * est->scale[k];
     }
   return result;
 }
 static void
+innovations_update_scale (struct innovations_estimate *est, double *theta,
+                         size_t i)
+{
+  double result = 0.0;
+  size_t j;
+  size_t k;
+
+
+  result = est->cov[0];
+  for (j = 0; j < i; j++)
+    {
+      k = i - j;
+      result -= theta[k] * theta[k] * est->scale[j];
+    }
+  est->scale[i] = 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 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]));
+
+    }
   for (n = 0; n < n_vars; n++)
     {
       for (i = 0; i < max_lag; i++)
        {
+         for (j = 0; j < i; j++)
+           {
+             theta[i][j] = 0.0;
+           }
+       }
+      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][k] = est[n]->cov[k] - 
-               innovations_convolve (theta, est, 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);
        }
     }
+  for (i = 0; i < max_lag; i++)
+    {
+      free (theta[i]);
+    }
+  free (theta);
 }
 
 struct innovations_estimate ** 
@@ -228,7 +266,8 @@
          est[i]->variable = vars[i];
          est[i]->mean = 0.0;
          est[i]->variance = 0.0;
-         est[i]->cov = xnmalloc (lag, sizeof (est[i]->cov));
+         est[i]->cov = xnmalloc (lag, sizeof (*est[i]->cov));
+         est[i]->scale = xnmalloc (lag, sizeof (*est[i]->scale));
          est[i]->coeff = xnmalloc (lag, sizeof (*est[i]->coeff));
          for (j = 0; j < lag; j++)
            {