// betasp => n x q
// Xsp => N x q
// XB => N x 1
void comb_XB_sp(int *n, int *r, int *T, int *q, double *Xsp, double *betasp,
int *constant, double *XB)
{
int i, j, l, t, n1, r1, T1, q1;
n1=*n;
r1=*r;
T1=*T;
q1=*q;
double *XB1, *dump, *I;
XB1 = (double *) malloc((size_t)((n1*n1)*sizeof(double)));
dump = (double *) malloc((size_t)((n1)*sizeof(double)));
I = (double *) malloc((size_t)((n1)*sizeof(double)));
for(l=0; l<r1; l++){
for(t=0; t<T1; t++){
for(i=0; i<n1; i++){
I[i] = 0.0;
}
for(j=0; j<q1; j++){
extract_X_sp2(t, l, j, n, r, T, Xsp, XB1); // n x n
for(i=0; i<n1; i++){
dump[i] = betasp[i+j*n1]; // n x 1
}
MProd(dump, constant, n, XB1, n, dump); // n x 1
MAdd(I, n, constant, dump, I); // n x 1
}
put_together1(l, t, n, r, T, XB, I);
}
}
free(XB1); free(dump); free(I);
return;
}
// Posterior distribution for "theta"
void beta_gp(int *n, int *r, int *T, int *rT, int *p, double *prior_mu,
double *prior_sig, double *Qeta, double *X, double *o, int *constant,
double *betap)
{
int t, l, i, n1, p1, r1, T1, col;
n1 =*n;
p1 =*p;
r1 =*r;
T1 =*T;
col =*constant;
double *del, *chi, *ot1, *X1, *tX1, *out, *tX1QX1, *tX1Qo, *det, *mu, *I;
del = (double *) malloc((size_t)((p1*p1)*sizeof(double)));
chi = (double *) malloc((size_t)((p1*col)*sizeof(double)));
ot1 = (double *) malloc((size_t)((n1*col)*sizeof(double)));
X1 = (double *) malloc((size_t)((n1*p1)*sizeof(double)));
tX1 = (double *) malloc((size_t)((n1*p1)*sizeof(double)));
out = (double *) malloc((size_t)((n1*p1)*sizeof(double)));
tX1QX1 = (double *) malloc((size_t)((p1*p1)*sizeof(double)));
tX1Qo = (double *) malloc((size_t)((p1*col)*sizeof(double)));
det = (double *) malloc((size_t)((col)*sizeof(double)));
mu = (double *) malloc((size_t)((p1*col)*sizeof(double)));
I = (double *) malloc((size_t)((p1*p1)*sizeof(double)));
for(i=0; i<p1*p1; i++){
del[i] = 0.0;
}
for(i=0; i<p1; i++){
chi[i] = 0.0;
}
for(l=0; l<r1; l++){
for(t=0; t<T1; t++){
extract_X(t, l, n, r, T, p, X, X1); // n x p
MTranspose(X1, p, n, tX1); // p x n
MProd(X1, p, n, Qeta, n, out); // n x p
MProd(out, p, n, tX1, p, tX1QX1); // pxp
MAdd(del, p, p, tX1QX1, del); // pxp
extract_alt2(l, t, n, rT, T, o, ot1); // n x 1
MProd(ot1, constant, n, Qeta, n, out); // n x 1
MProd(out, constant, n, tX1, p, tX1Qo); // p x 1
MAdd(chi, p, constant, tX1Qo, chi); // p x 1
}
}
IdentityM(p, I);
for(i=0; i<p1*p1; i++){
del[i] = del[i] + I[i]*(1.0/prior_sig[0]);
}
free(I);
for(i=0; i<p1; i++){
chi[i] = chi[i] + prior_mu[0]/prior_sig[0];
}
MInv(del, del, p, det);
MProd(chi, constant, p, del, p, mu); // p x 1
mvrnormal(constant, mu, del, p, betap);
free(del); free(chi); free(ot1); free(X1); free(tX1);
free(out); free(tX1QX1); free(tX1Qo); free(det); free(mu);
return;
}
