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[Pspp-cvs] pspp/src/math/ts ChangeLog innovations.c
From: |
Jason H Stover |
Subject: |
[Pspp-cvs] pspp/src/math/ts ChangeLog innovations.c |
Date: |
Sun, 16 Jul 2006 12:19:24 +0000 |
CVSROOT: /sources/pspp
Module name: pspp
Changes by: Jason H Stover <jstover> 06/07/16 12:19:24
Modified files:
src/math/ts : ChangeLog innovations.c
Log message:
fixed and tested computation of coefficients
CVSWeb URLs:
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/ChangeLog?cvsroot=pspp&r1=1.14&r2=1.15
http://cvs.savannah.gnu.org/viewcvs/pspp/src/math/ts/innovations.c?cvsroot=pspp&r1=1.14&r2=1.15
Patches:
Index: ChangeLog
===================================================================
RCS file: /sources/pspp/pspp/src/math/ts/ChangeLog,v
retrieving revision 1.14
retrieving revision 1.15
diff -u -b -r1.14 -r1.15
--- ChangeLog 15 Jul 2006 20:24:17 -0000 1.14
+++ ChangeLog 16 Jul 2006 12:19:23 -0000 1.15
@@ -1,3 +1,8 @@
+2006-07-16 Jason Stover <address@hidden>
+
+ * innovations.c (get_coef): Fixed diagonal elements and call to
+ innovations_convolve().
+
2006-07-15 Jason Stover <address@hidden>
* innovations.c (get_covariance): Fixed computation of
Index: innovations.c
===================================================================
RCS file: /sources/pspp/pspp/src/math/ts/innovations.c,v
retrieving revision 1.14
retrieving revision 1.15
diff -u -b -r1.14 -r1.15
--- innovations.c 15 Jul 2006 20:24:17 -0000 1.14
+++ innovations.c 16 Jul 2006 12:19:23 -0000 1.15
@@ -114,7 +114,7 @@
*/
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 @@
}
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 @@
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);
}