ArStateModel::ArStateModel(int number_of_lags)
: ArModel(number_of_lags),
state_transition_matrix_(new AutoRegressionTransitionMatrix(Phi_prm())),
state_variance_matrix_(
new UpperLeftCornerMatrixParamView(number_of_lags, Sigsq_prm())),
state_error_expander_(
new FirstElementSingleColumnMatrix(number_of_lags)),
state_error_variance_matrix_(
new SingleSparseDiagonalElementMatrixParamView(1, Sigsq_prm(), 0)),
observation_matrix_(number_of_lags),
initial_state_mean_(number_of_lags, 0.0),
initial_state_variance_(number_of_lags, 1.0),
stationary_initial_distribution_(false) {
observation_matrix_[0] = 1.0;
DataPolicy::only_keep_sufstats();
}
//======================================================================
ArStateModel::ArStateModel(const ArStateModel &rhs)
: Model(rhs),
StateModel(rhs),
ArModel(rhs),
state_transition_matrix_(new AutoRegressionTransitionMatrix(Phi_prm())),
state_variance_matrix_(new UpperLeftCornerMatrixParamView(
Phi_prm()->nvars_possible(), Sigsq_prm())),
state_error_expander_(
new FirstElementSingleColumnMatrix(rhs.number_of_lags())),
state_error_variance_matrix_(
new SingleSparseDiagonalElementMatrixParamView(1, Sigsq_prm(), 0)),
observation_matrix_(rhs.observation_matrix_),
initial_state_mean_(rhs.initial_state_mean_),
initial_state_variance_(rhs.initial_state_variance_),
stationary_initial_distribution_(rhs.stationary_initial_distribution_) {
DataPolicy::only_keep_sufstats();
}
//======================================================================
ArStateModel::ArStateModel(const ArStateModel &rhs)
: Model(rhs),
StateModel(rhs),
ArModel(rhs),
state_transition_matrix_(new AutoRegressionTransitionMatrix(Phi_prm())),
state_variance_matrix_(new UpperLeftCornerMatrix(
Phi_prm()->size(), 1.0)),
state_variance_is_current_(false),
observation_matrix_(rhs.observation_matrix_),
initial_state_mean_(rhs.initial_state_mean_),
initial_state_variance_(rhs.initial_state_variance_),
stationary_initial_distribution_(rhs.stationary_initial_distribution_)
{
DataPolicy::only_keep_sufstats();
Sigsq_prm()->add_observer(
boost::bind(&ArStateModel::observe_residual_variance,
this));
}
ArStateModel::ArStateModel(int number_of_lags)
: ArModel(number_of_lags),
state_transition_matrix_(
new AutoRegressionTransitionMatrix(Phi_prm())),
state_variance_matrix_(
new UpperLeftCornerMatrix(number_of_lags, 1.0)),
state_variance_is_current_(false),
observation_matrix_(number_of_lags),
initial_state_mean_(number_of_lags, 0.0),
initial_state_variance_(number_of_lags, 1.0),
stationary_initial_distribution_(false)
{
observation_matrix_[0] = 1.0;
DataPolicy::only_keep_sufstats();
Sigsq_prm()->add_observer(
boost::bind(&ArStateModel::observe_residual_variance,
this));
}
void ArModel::set_sigsq(double sigsq){
Sigsq_prm()->set(sigsq);
}
void ArModel::set_sigma(double sigma){
Sigsq_prm()->set(sigma * sigma);
}
double ArModel::sigsq()const{
return Sigsq_prm()->value();
}
double ArModel::sigma()const{
return sqrt(Sigsq_prm()->value());
}
double ZGM::sigsq()const{return Sigsq_prm()->value();}
void ZGM::set_sigsq(double s2){
Sigsq_prm()->set(s2);}
void IndependentMvnModel::set_sigsq_element(double sigsq, int position){
Sigsq_prm()->set_element(sigsq, position);
}
void IndependentMvnModel::set_sigsq(const Vector &sigsq){
Sigsq_prm()->set(sigsq);
}