TrigStateModel::TrigStateModel(double period, const Vector &frequencies)
: IndependentMvnModel(2 * frequencies.size()),
period_(period),
frequencies_(frequencies),
state_transition_matrix_(new IdentityMatrix(state_dimension())),
state_variance_matrix_(new DiagonalMatrixBlock(state_dimension())),
variance_is_current_(false)
{
if (frequencies_.empty()) {
report_error("At least one frequency needed to initialize TrigStateModel.");
}
for (int i = 0; i < frequencies_.size(); ++i) {
frequencies_[i] = 2 * Constants::pi * frequencies_[i] / period_;
}
set_mu(Vector(state_dimension(), 0));
}
void MGSS::mle(){ set_mu(suf()->ybar()); }
void WeightedMvnModel::mle(){
set_mu(suf()->ybar());
set_Sigma(suf()->var_hat());
}
