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[Pspp-cvs] pspp/src/math/ts ChangeLog innovations.c innova...
From: |
Jason H Stover |
Subject: |
[Pspp-cvs] pspp/src/math/ts ChangeLog innovations.c innova... |
Date: |
Sun, 16 Jul 2006 12:49:13 +0000 |
CVSROOT: /sources/pspp
Module name: pspp
Changes by: Jason H Stover <jstover> 06/07/16 12:49:13
Modified files:
src/math/ts : ChangeLog innovations.c innovations.h
Log message:
center the data before computing the coefficients; remove variance
member of innovations estimate
CVSWeb URLs:
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/ChangeLog?cvsroot=pspp&r1=1.15&r2=1.16
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/innovations.c?cvsroot=pspp&r1=1.15&r2=1.16
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/innovations.h?cvsroot=pspp&r1=1.5&r2=1.6
Patches:
Index: ChangeLog
===================================================================
RCS file: /sources/pspp/pspp/src/math/ts/ChangeLog,v
retrieving revision 1.15
retrieving revision 1.16
diff -u -b -r1.15 -r1.16
--- ChangeLog 16 Jul 2006 12:19:23 -0000 1.15
+++ ChangeLog 16 Jul 2006 12:49:13 -0000 1.16
@@ -2,6 +2,8 @@
* innovations.c (get_coef): Fixed diagonal elements and call to
innovations_convolve().
+ (subtract_mean): New function. Subtract the mean before computing
+ the coefficients.
2006-07-15 Jason Stover <address@hidden>
Index: innovations.c
===================================================================
RCS file: /sources/pspp/pspp/src/math/ts/innovations.c,v
retrieving revision 1.15
retrieving revision 1.16
diff -u -b -r1.15 -r1.16
--- innovations.c 16 Jul 2006 12:19:23 -0000 1.15
+++ innovations.c 16 Jul 2006 12:49:13 -0000 1.16
@@ -239,9 +239,6 @@
+ est->coeff[m-1] * (X[m-2] - X_hat[m-2])
...
+ est->coeff[m-max_lag] * (X[m - max_lag] - X_hat[m -
max_lag])
-
- (That is what X_hat[m] SHOULD be, anyway. These routines need
- to be tested.)
*/
pspp_coeff_set_estimate (est[n]->coeff[i], theta[max_lag - 1][i]);
}
@@ -281,7 +278,28 @@
}
est->max_lag = (double) lag;
}
+/*
+ The mean is subtracted from the original data before computing the
+ coefficients. The mean is NOT added back, so if you want to predict
+ a new value, you must add the mean to X_hat[m] to get the correct
+ value.
+ */
+static void
+subtract_mean (gsl_matrix *m, struct innovations_estimate **est)
+{
+ size_t i;
+ size_t j;
+ double tmp;
+ for (i = 0; i < m->size1; i++)
+ {
+ for (j = 0; j < m->size2; j++)
+ {
+ tmp = gsl_matrix_get (m, i, j) - est[j]->mean;
+ gsl_matrix_set (m, i, j, tmp);
+ }
+ }
+}
struct innovations_estimate **
pspp_innovations (const struct design_matrix *dm, size_t lag)
{
@@ -297,6 +315,7 @@
}
get_mean (dm->m, est);
+ subtract_mean (dm->m, est);
get_covariance (dm->m, est, lag);
get_coef (dm->m, est, lag);
Index: innovations.h
===================================================================
RCS file: /sources/pspp/pspp/src/math/ts/innovations.h,v
retrieving revision 1.5
retrieving revision 1.6
diff -u -b -r1.5 -r1.6
--- innovations.h 13 Jul 2006 20:44:44 -0000 1.5
+++ innovations.h 16 Jul 2006 12:49:13 -0000 1.6
@@ -36,7 +36,6 @@
{
const struct variable *variable;
double mean;
- double variance;
double *cov;
double *scale;
double n_obs;