//extern "C" SEXP log_marg_A0k(SEXP WpostR, SEXP A0R, SEXP N2R, SEXP consttermR, SEXP bfR, SEXP UTR, SEXP TinvR, SEXP dfR, SEXP n0R) { int i, j, *dTi, db, m, N2, df, len; N2=INTEGER(N2R)[0]; df=INTEGER(dfR)[0]; m=INTEGER(coerceVector(listElt(WpostR,"m"),INTSXP))[0]; double *pbfi, *lpa0, *cterm, lN2, tol, maxvlog, lqlog; lN2=log((double)N2); tol=1E-12; cterm=REAL(consttermR); //Rprintf("m: %d\nN2: %d\ndf: %d\n",m,N2,df); // Initialize Tinv/b.free/vlog variables SEXP Ti, bfi; Matrix Tinv; ColumnVector bfree, vlog(N2), qlog; // Initialize Wlist/W/Wmat objects and populate Wlist from WpostR Wlist Wall(WpostR,N2); Wobj W; Matrix Wmat; // Initialize SEXP/ptr to store/access log marginal A0k values SEXP lpa0yao; PROTECT(lpa0yao=allocVector(REALSXP,m)); lpa0=REAL(lpa0yao); for(i=0;i<m-1;i++){ PROTECT(Ti=VECTOR_ELT(TinvR,i)); dTi=getdims(Ti); Tinv=R2Cmat(Ti,dTi[0],dTi[1]); UNPROTECT(1); //Rprintf("Tinv[[%d]](%dx%d) initialized\n",i,dTi[0],dTi[1]); PROTECT(bfi=VECTOR_ELT(bfR,i)); db=length(bfi); bfree.ReSize(db); pbfi=REAL(bfi); bfree<<pbfi; UNPROTECT(1); //Rprintf("bfree[[%d]](%d) initialized\n",i,db); for(j=1;j<=N2;j++){ Wall.getWobj(W,j); Wmat=W.getWelt(i+1); W.clear(); vlog(j)=getvlog(Wmat,Tinv,bfree,cterm[i],df,tol); //Rprintf("vlog(%d): %f\n",j,vlog(j)); } // Modified harmonic mean of the max maxvlog=vlog.Maximum(); qlog=vlog-maxvlog; len=qlog.Storage(); lqlog=0; for(j=1;j<=len;j++) lqlog+=exp(qlog(j)); lqlog=log(lqlog); // log(sum(exp(qlog))) lpa0[i]=maxvlog-lN2+lqlog; //Rprintf("lpa0[%d] = %f\n", i, lpa0[i]); } // Computations for last column PROTECT(Ti=VECTOR_ELT(TinvR,m-1)); dTi=getdims(Ti); Tinv=R2Cmat(Ti,dTi[0],dTi[1]); UNPROTECT(1); //Rprintf("Tinv[[%d]](%dx%d) initialized\n",i,dTi[0],dTi[1]); PROTECT(bfi=VECTOR_ELT(bfR,m-1)); pbfi=REAL(bfi); bfree.ReSize(length(bfi)); bfree<<pbfi; UNPROTECT(1); //Rprintf("bfree[[%d]](%d) initialized\n",i,db); UTobj UT(UTR); Matrix A0=R2Cmat(A0R,m,m); A0=drawA0cpp(A0,UT,df,INTEGER(n0R),W); Wmat=W.getWelt(m); lpa0[m-1]=getvlog(Wmat,Tinv,bfree,cterm[m-1],df,tol); //Rprintf("lpa0[%d] = %f\n",m-1,lpa0[m-1]); // Return R object lpa0yao UNPROTECT(1); return lpa0yao; }
Foam fboxNth(FoamBox fbox, int n) { int initArgc; if (!fbox->initial) initArgc = 0; else initArgc = foamArgc(fbox->initial) - foamNaryStart(fbox->tag); if (n < initArgc) return foamArgv(fbox->initial)[n + foamNaryStart(fbox->tag)].code; else { int i = fbox->argc - n - 1; return listElt(Foam)(fbox->l, i); } }
//extern "C" SEXP mc_irf_var(SEXP varobj, SEXP nsteps, SEXP draws) { int m, p, dr=INTEGER(draws)[0], ns=INTEGER(nsteps)[0], T, df, i; SEXP AR, Y, Bhat, XR, prior, hstar, meanS, output; // Get # vars/lags/steps/draws/T/df PROTECT(AR = listElt(varobj, "ar.coefs")); PROTECT(Y = listElt(varobj, "Y")); m = INTEGER(getAttrib(AR, R_DimSymbol))[0]; //#vars p = INTEGER(getAttrib(AR, R_DimSymbol))[2]; //#lags T = nrows(Y); df = T - m*p - m - 1; UNPROTECT(2); // Put coefficients from varobj$Bhat in Bcoefs vector (m^2*p, 1) PROTECT(Bhat = coerceVector(listElt(varobj, "Bhat"), REALSXP)); Matrix bcoefs = R2Cmat(Bhat, m*p, m); bcoefs = bcoefs.AsColumn(); UNPROTECT(1); // Define X(T x m*p) subset of varobj$X and XXinv as solve(X'X) PROTECT(XR = coerceVector(listElt(varobj,"X"),REALSXP)); Matrix X = R2Cmat(XR, T, m*p), XXinv; UNPROTECT(1); // Get the correct moment matrix PROTECT(prior = listElt(varobj,"prior")); if(!isNull(prior)){ PROTECT(hstar = coerceVector(listElt(varobj,"hstar"),REALSXP)); XXinv = R2Cmat(hstar, m*p, m*p).i(); UNPROTECT(1); } else { XXinv = (X.t()*X).i(); } UNPROTECT(1); // Get the transpose of the Cholesky decomp of XXinv SymmetricMatrix XXinvSym; XXinvSym << XXinv; XXinv = Cholesky(XXinvSym); // Cholesky of covariance PROTECT(meanS = coerceVector(listElt(varobj,"mean.S"),REALSXP)); SymmetricMatrix meanSSym; meanSSym << R2Cmat(meanS, m, m); Matrix Sigmat = Cholesky(meanSSym); UNPROTECT(1); // Matricies needed for the loop ColumnVector bvec; bvec=0.0; Matrix sqrtwish, impulse(dr,m*m*ns); impulse = 0.0; SymmetricMatrix sigmadraw; sigmadraw = 0.0; IdentityMatrix I(m); GetRNGstate(); // Main Loop for (i=1; i<=dr; i++){ // Wishart/Beta draws sigmadraw << Sigmat*(T*rwish(I,df).i())*Sigmat.t(); sqrtwish = Cholesky(sigmadraw); bvec = bcoefs+KP(sqrtwish, XXinv)*rnorms(m*m*p); // IRF computation impulse.Row(i) = irf_var_from_beta(sqrtwish, bvec, ns).t(); if (!(i%1000)){ Rprintf("Monte Carlo IRF Iteration = %d\n",i); } } // end main loop PutRNGstate(); int dims[]={dr,ns,m*m}; PROTECT(output = C2R3D(impulse,dims)); setclass(output,"mc.irf.VAR"); UNPROTECT(1); return output; }