Exemplos de mle_criteria em C++ (Cpp)

Exemplo n.º 1

Arquivo: duration.c Projeto: maupatras/gretl

static int 
transcribe_duration_results (MODEL *pmod, duration_info *dinfo, 
			     const DATASET *dset, 
			     int fncount, int grcount, int use_bfgs,
			     int censvar, gretlopt opt)
{
    int np = dinfo->npar;
    int j, v, err = 0;

    pmod->ci = DURATION;

    if (dinfo->dist == DUR_EXPON) {
	pmod->opt |= OPT_E;
    } else if (dinfo->dist == DUR_LOGLOG) {
	pmod->opt |= OPT_L;
    } else if (dinfo->dist == DUR_LOGNORM) {
	pmod->opt |= OPT_Z;
    } else {
	pmod->opt |= OPT_W; /* Weibull */
    }

    if (censvar > 0) {
	gretl_model_set_int(pmod, "cens_var", censvar);
    }

    if (use_bfgs) {
	gretl_model_set_int(pmod, "fncount", fncount);
	gretl_model_set_int(pmod, "grcount", grcount);
    } else {
	gretl_model_set_int(pmod, "iters", fncount);
    } 

    if (!err) {
	err = gretl_model_allocate_param_names(pmod, np);
	if (!err) {
	    for (j=0; j<dinfo->k; j++) {
		v = pmod->list[j+2];
		gretl_model_set_param_name(pmod, j, dset->varname[v]);
	    }
	    if (dinfo->dist != DUR_EXPON) {
		gretl_model_set_param_name(pmod, np-1, "sigma");
	    } 
	}
    }

    if (dinfo->dist == DUR_EXPON) {
	pmod->sigma = 1.0;
    } else {
	pmod->sigma = dinfo->theta[np-1];
    } 

    err = gretl_model_write_coeffs(pmod, dinfo->theta, np);

    if (!err) {
	err = duration_model_add_vcv(pmod, dinfo, dset, opt);
    }

    if (!err) {
	duration_set_predictions(pmod, dinfo, dset, opt);
	pmod->lnL = dinfo->ll;
	mle_criteria(pmod, 0); 
	/* mask invalid statistics */
	pmod->fstt = pmod->chisq = NADBL;
	pmod->rsq = pmod->adjrsq = NADBL;
	pmod->ess = NADBL;
	/* but add overall LR test if possible */
	if (np > 1 + (dinfo->dist != DUR_EXPON)) {
	    duration_overall_LR_test(pmod, dinfo, use_bfgs);
	}
    }

    return err;
}

Exemplo n.º 2

Arquivo: arma_common.c Projeto: HelioGuilherme66/gretl

void write_arma_model_stats (MODEL *pmod, arma_info *ainfo,
			     const DATASET *dset)
{
    double mean_error;
    int do_criteria = 1;
    int t;

    pmod->ci = ARMA;

    ainfo_data_to_model(ainfo, pmod);

    free(pmod->list);
    pmod->list = gretl_list_copy(ainfo->alist);

    if (!arma_least_squares(ainfo)) {
	arma_depvar_stats(pmod, ainfo, dset);
    }

    mean_error = pmod->ess = 0.0;

    for (t=pmod->t1; t<=pmod->t2; t++) {
	if (!na(ainfo->y[t]) && !na(pmod->uhat[t])) {
#if USE_ARIMA_INTEGRATE == 0
	    if (arma_is_arima(ainfo) && arima_ydiff(ainfo)) {
		pmod->yhat[t] = Z[ainfo->yno][t] - pmod->uhat[t];
	    }
#else
	    pmod->yhat[t] = ainfo->y[t] - pmod->uhat[t];
#endif
	    pmod->ess += pmod->uhat[t] * pmod->uhat[t];
	    mean_error += pmod->uhat[t];
	} 
    }

#if USE_ARIMA_INTEGRATE
    if (arma_is_arima(ainfo) && arima_ydiff(ainfo)) {
	arima_integrate(pmod->yhat, dset->Z[ainfo->yno], 
			pmod->t1, pmod->t2, 
			ainfo->d, ainfo->D, ainfo->pd);
    }
#endif

    mean_error /= pmod->nobs;
    if (arma_least_squares(ainfo) && pmod->ifc &&
	mean_error < 1.0e-15) {
	mean_error = 0.0;
    }
    gretl_model_set_double(pmod, "mean_error", mean_error);

    if (na(pmod->sigma)) {
	/* in x12a or native exact cases this is already done */
	pmod->sigma = sqrt(pmod->ess / pmod->nobs);
    } 

    pmod->rsq = pmod->adjrsq = pmod->fstt = pmod->chisq = NADBL;
    pmod->tss = NADBL;

    if (arma_least_squares(ainfo)) {
	/* not applicable */
	do_criteria = 0;
    } else if (arma_by_x12a(ainfo) && !na(pmod->criterion[C_AIC])) {
	/* already given by x12a */
	do_criteria = 0;
    }

    if (do_criteria) {
	mle_criteria(pmod, 1);
    }

    if (!pmod->errcode && pmod->ncoeff == 0) {
	handle_null_model(pmod, ainfo);
    }

    if (!pmod->errcode) {
	gretl_model_add_arma_varnames(pmod, dset, ainfo->yno,
				      ainfo->p, ainfo->q, 
				      ainfo->pmask, ainfo->qmask,
				      ainfo->P, ainfo->Q,
				      ainfo->nexo);
    }
}