MVTR::MvtRegModel(const Mat &X,const Mat &Y, bool add_intercept)
: ParamPolicy(new MatrixParams(X.ncol() + add_intercept,Y.ncol()),
new SpdParams(Y.ncol()),
new UnivParams(default_df))
{
Mat XX(add_intercept? cbind(1.0,X) : X);
QR qr(XX);
Mat Beta(qr.solve(qr.QtY(Y)));
Mat resid = Y - XX* Beta;
uint n = XX.nrow();
Spd Sig = resid.t() * resid/n;
set_Beta(Beta);
set_Sigma(Sig);
for(uint i=0; i<n; ++i){
Vec y = Y.row(i);
Vec x = XX.row(i);
NEW(MvRegData, dp)(y,x);
DataPolicy::add_data(dp);
}
}
void MvReg::mle() {
set_Beta(suf()->beta_hat());
set_Sigma(suf()->SSE(Beta()) / suf()->n());
}
void RM::mle(){
add_all();
set_Beta(suf()->beta_hat());
set_sigsq(suf()->SSE()/suf()->n());
}