void trymat7()
{
// cout << "\nSeventh test of Matrix package\n";
Tracer et("Seventh test of Matrix package");
Tracer::PrintTrace();
int i,j;
DiagonalMatrix D(6);
UpperTriangularMatrix U(6);
for (i=1; i<=6; i++) {
for (j=i; j<=6; j++) U(i,j)=i*i*j-50;
D(i,i)=i*i+i-10;
}
LowerTriangularMatrix L=(U*3.0).t();
SymmetricMatrix S(6);
for (i=1; i<=6; i++) for (j=i; j<=6; j++) S(i,j)=i*i+2.0+j;
Matrix MD=D;
Matrix ML=L;
Matrix MU=U;
Matrix MS=S;
Matrix M(6,6);
for (i=1; i<=6; i++) for (j=1; j<=6; j++) M(i,j)=i*j+i*i-10.0;
{
Tracer et1("Stage 1");
Print(Matrix((S-M)-(MS-M)));
Print(Matrix((-M-S)+(MS+M)));
Print(Matrix((U-M)-(MU-M)));
}
{
Tracer et1("Stage 2");
Print(Matrix((L-M)+(M-ML)));
Print(Matrix((D-M)+(M-MD)));
Print(Matrix((D-S)+(MS-MD)));
Print(Matrix((D-L)+(ML-MD)));
}
{
M=MU.t();
}
LowerTriangularMatrix LY=D.i()*U.t();
{
Tracer et1("Stage 3");
MS=D*LY-M;
Clean(MS,0.00000001);
Print(MS);
L=U.t();
LY=D.i()*L;
MS=D*LY-M;
Clean(MS,0.00000001);
Print(MS);
}
{
Tracer et1("Stage 4");
UpperTriangularMatrix UT(11);
int i, j;
for (i=1; i<=11; i++) for (j=i; j<=11; j++) UT(i,j)=i*i+j*3;
GenericMatrix GM;
Matrix X;
UpperBandMatrix UB(11,3);
UB.Inject(UT);
UT = UB;
UpperBandMatrix UB2 = UB / 8;
GM = UB2-UT/8;
X = GM;
Print(X);
SymmetricBandMatrix SB(11,4);
SB << (UB + UB.t());
X = SB - UT - UT.t();
Print(X);
BandMatrix B = UB + UB.t()*2;
DiagonalMatrix D;
D << B;
X.ReSize(1,1);
X(1,1) = Trace(B)-Sum(D);
Print(X);
X = SB + 5;
Matrix X1=X;
X = SP(UB,X);
Matrix X2 =UB;
X1 = (X1.AsDiagonal() * X2.AsDiagonal()).AsRow()-X.AsColumn().t();
Print(X1);
X1=SB.t();
X2 = B.t();
X = SB.i() * B - X1.i() * X2.t();
Clean(X,0.00000001);
Print(X);
X = SB.i();
X = X * B - X1.i() * X2.t();
Clean(X,0.00000001);
Print(X);
D = 1;
X = SB.i() * SB - D;
Clean(X,0.00000001);
Print(X);
ColumnVector CV(11);
CV << 2 << 6 <<3 << 8 << -4 << 17.5 << 2 << 1 << -2 << 5 << 3.75;
D << 2 << 6 <<3 << 8 << -4 << 17.5 << 2 << 1 << -2 << 5 << 3.75;
X = CV.AsDiagonal();
X = X-D;
Print(X);
SymmetricBandMatrix SB1(11,7);
SB1 = 5;
SymmetricBandMatrix SB2 = SB1 + D;
X.ReSize(11,11);
X=0;
for (i=1; i<=11; i++) for (j=1; j<=11; j++)
{
if (abs(i-j)<=7) X(i,j)=5;
if (i==j) X(i,j)+=CV(i);
}
SymmetricMatrix SM;
SM.ReSize(11);
SM=SB;
SB = SB+SB2;
X1 = SM+X-SB;
Print(X1);
SB2=0;
X2=SB2;
X1=SB;
Print(X2);
for (i=1; i<=11; i++) SB2.Column(i)<<SB.Column(i);
X1=X1-SB2;
Print(X1);
X = SB;
SB2.ReSize(11,4);
SB2 = SB*5;
SB2 = SB + SB2;
X1 = X*6 - SB2;
Print(X1);
X1 = SP(SB,SB2/3);
X1=X1-SP(X,X*2);
Print(X1);
X1 = SP(SB2/6,X*2);
X1=X1-SP(X*2,X);
Print(X1);
}
{
// test the simple integer array class
Tracer et("Stage 5");
ColumnVector Test(10);
Test = 0.0;
int i;
SimpleIntArray A(100);
for (i = 0; i < 100; i++) A[i] = i*i+1;
SimpleIntArray B(100), C(50), D;
B = A;
A.ReSize(50, true);
C = A;
A.ReSize(150, true);
D = A;
for (i = 0; i < 100; i++) if (B[i] != i*i+1) Test(1)=1;
for (i = 0; i < 50; i++) if (C[i] != i*i+1) Test(2)=1;
for (i = 0; i < 50; i++) if (D[i] != i*i+1) Test(3)=1;
for (i = 50; i < 150; i++) if (D[i] != 0) Test(3)=1;
A.resize(75);
A = A.size();
for (i = 0; i < 75; i++) if (A[i] != 75) Test(4)=1;
A.resize(25);
A = A.size();
for (i = 0; i < 25; i++) if (A[i] != 25) Test(5)=1;
A.ReSize(25);
A = 23;
for (i = 0; i < 25; i++) if (A[i] != 23) Test(6)=1;
A.ReSize(0);
A.ReSize(15);
A = A.Size();
for (i = 0; i < 15; i++) if (A[i] != 15) Test(7)=1;
const SimpleIntArray E = B;
for (i = 0; i < 100; i++) if (E[i] != i*i+1) Test(8)=1;
SimpleIntArray F;
F.resize_keep(5);
for (i = 0; i < 5; i++) if (F[i] != 0) Test(9)=1;
Print(Test);
}
{
// testing RealStarStar
Tracer et("Stage 6");
MultWithCarry MWC;
Matrix A(10, 12), B(12, 15), C(10, 15);
FillWithValues(MWC, A);
FillWithValues(MWC, B);
ConstRealStarStar a(A);
ConstRealStarStar b(B);
RealStarStar c(C);
c_matrix_multiply(10,12,15,a,b,c);
Matrix X = C - A * B;
Clean(X,0.00000001);
Print(X);
A.ReSize(11, 10);
B.ReSize(10,8);
C.ReSize(11,8);
FillWithValues(MWC, A);
FillWithValues(MWC, B);
C = -1;
c_matrix_multiply(11,10,8,
ConstRealStarStar(A),ConstRealStarStar(B),RealStarStar(C));
X = C - A * B;
Clean(X,0.00000001);
Print(X);
}
{
// testing resize_keep
Tracer et("Stage 7");
Matrix X, Y;
MultWithCarry MWC;
X.resize(20,35);
FillWithValues(MWC, X);
Matrix M(20,35);
M = X;
X = M.submatrix(1,15,1,25);
M.resize_keep(15,25);
Y = X - M;
Print(Y);
M.resize_keep(15,25);
Y = X - M;
Print(Y);
Y.resize(29,27);
Y = 0;
Y.submatrix(1,15,1,25) = X;
M.resize_keep(29,27);
Y -= M;
Print(Y);
M.resize_keep(0,5);
M.resize_keep(10,10);
Print(M);
M.resize_keep(15,0);
M.resize_keep(10,10);
Print(M);
X.resize(20,35);
FillWithValues(MWC, X);
M = X;
M.resize_keep(38,17);
Y.resize(38,17);
Y = 0;
Y.submatrix(1,20,1,17) = X.submatrix(1,20,1,17);
Y -= M;
Print(Y);
X.resize(40,12);
FillWithValues(MWC, X);
M = X;
M.resize_keep(38,17);
Y.resize(38,17);
Y = 0;
Y.submatrix(1,38,1,12) = X.submatrix(1,38,1,12);
Y -= M;
Print(Y);
#ifndef DONT_DO_NRIC
X.resize(20,35);
FillWithValues(MWC, X);
nricMatrix nM(20,35);
nM = X;
X = nM.submatrix(1,15,1,25);
nM.resize_keep(15,25);
Y = X - nM;
Print(Y);
nM.resize_keep(15,25);
Y = X - nM;
Print(Y);
Y.resize(29,27);
Y = 0;
Y.submatrix(1,15,1,25) = X;
nM.resize_keep(29,27);
Y -= nM;
Print(Y);
nM.resize_keep(0,5);
nM.resize_keep(10,10);
Print(nM);
nM.resize_keep(15,0);
nM.resize_keep(10,10);
Print(nM);
X.resize(20,35);
FillWithValues(MWC, X);
nM = X;
nM.resize_keep(38,17);
Y.resize(38,17);
Y = 0;
Y.submatrix(1,20,1,17) = X.submatrix(1,20,1,17);
Y -= nM;
Print(Y);
X.resize(40,12);
FillWithValues(MWC, X);
nM = X;
nM.resize_keep(38,17);
Y.resize(38,17);
Y = 0;
Y.submatrix(1,38,1,12) = X.submatrix(1,38,1,12);
Y -= nM;
Print(Y);
#endif
X.resize(20,20);
FillWithValues(MWC, X);
SquareMatrix SQM(20);
SQM << X;
X = SQM.sym_submatrix(1,13);
SQM.resize_keep(13);
Y = X - SQM;
Print(Y);
SQM.resize_keep(13);
Y = X - SQM;
Print(Y);
Y.resize(23,23);
Y = 0;
Y.sym_submatrix(1,13) = X;
SQM.resize_keep(23,23);
Y -= SQM;
Print(Y);
SQM.resize_keep(0);
SQM.resize_keep(50);
Print(SQM);
X.resize(20,20);
FillWithValues(MWC, X);
SymmetricMatrix SM(20);
SM << X;
X = SM.sym_submatrix(1,13);
SM.resize_keep(13);
Y = X - SM;
Print(Y);
SM.resize_keep(13);
Y = X - SM;
Print(Y);
Y.resize(23,23);
Y = 0;
Y.sym_submatrix(1,13) = X;
SM.resize_keep(23);
Y -= SM;
Print(Y);
SM.resize_keep(0);
SM.resize_keep(50);
Print(SM);
X.resize(20,20);
FillWithValues(MWC, X);
LowerTriangularMatrix LT(20);
LT << X;
X = LT.sym_submatrix(1,13);
LT.resize_keep(13);
Y = X - LT;
Print(Y);
LT.resize_keep(13);
Y = X - LT;
Print(Y);
Y.resize(23,23);
Y = 0;
Y.sym_submatrix(1,13) = X;
LT.resize_keep(23);
Y -= LT;
Print(Y);
LT.resize_keep(0);
LT.resize_keep(50);
Print(LT);
X.resize(20,20);
FillWithValues(MWC, X);
UpperTriangularMatrix UT(20);
UT << X;
X = UT.sym_submatrix(1,13);
UT.resize_keep(13);
Y = X - UT;
Print(Y);
UT.resize_keep(13);
Y = X - UT;
Print(Y);
Y.resize(23,23);
Y = 0;
Y.sym_submatrix(1,13) = X;
UT.resize_keep(23);
Y -= UT;
Print(Y);
UT.resize_keep(0);
UT.resize_keep(50);
Print(UT);
X.resize(20,20);
FillWithValues(MWC, X);
DiagonalMatrix DM(20);
DM << X;
X = DM.sym_submatrix(1,13);
DM.resize_keep(13);
Y = X - DM;
Print(Y);
DM.resize_keep(13);
Y = X - DM;
Print(Y);
Y.resize(23,23);
Y = 0;
Y.sym_submatrix(1,13) = X;
DM.resize_keep(23);
Y -= DM;
Print(Y);
DM.resize_keep(0);
DM.resize_keep(50);
Print(DM);
X.resize(1,20);
FillWithValues(MWC, X);
RowVector RV(20);
RV << X;
X = RV.columns(1,13);
RV.resize_keep(13);
Y = X - RV;
Print(Y);
RV.resize_keep(13);
Y = X - RV;
Print(Y);
Y.resize(1,23);
Y = 0;
Y.columns(1,13) = X;
RV.resize_keep(1,23);
Y -= RV;
Print(Y);
RV.resize_keep(0);
RV.resize_keep(50);
Print(RV);
X.resize(20,1);
FillWithValues(MWC, X);
ColumnVector CV(20);
CV << X;
X = CV.rows(1,13);
CV.resize_keep(13);
Y = X - CV;
Print(Y);
CV.resize_keep(13);
Y = X - CV;
Print(Y);
Y.resize(23,1);
Y = 0;
Y.rows(1,13) = X;
CV.resize_keep(23,1);
Y -= CV;
Print(Y);
CV.resize_keep(0);
CV.resize_keep(50);
Print(CV);
}
// cout << "\nEnd of seventh test\n";
}
//extern "C"
SEXP mc_irf_var(SEXP varobj, SEXP nsteps, SEXP draws)
{
int m, p, dr=INTEGER(draws)[0], ns=INTEGER(nsteps)[0], T, df, i;
SEXP AR, Y, Bhat, XR, prior, hstar, meanS, output;
// Get # vars/lags/steps/draws/T/df
PROTECT(AR = listElt(varobj, "ar.coefs"));
PROTECT(Y = listElt(varobj, "Y"));
m = INTEGER(getAttrib(AR, R_DimSymbol))[0]; //#vars
p = INTEGER(getAttrib(AR, R_DimSymbol))[2]; //#lags
T = nrows(Y); df = T - m*p - m - 1;
UNPROTECT(2);
// Put coefficients from varobj$Bhat in Bcoefs vector (m^2*p, 1)
PROTECT(Bhat = coerceVector(listElt(varobj, "Bhat"), REALSXP));
Matrix bcoefs = R2Cmat(Bhat, m*p, m);
bcoefs = bcoefs.AsColumn();
UNPROTECT(1);
// Define X(T x m*p) subset of varobj$X and XXinv as solve(X'X)
PROTECT(XR = coerceVector(listElt(varobj,"X"),REALSXP));
Matrix X = R2Cmat(XR, T, m*p), XXinv;
UNPROTECT(1);
// Get the correct moment matrix
PROTECT(prior = listElt(varobj,"prior"));
if(!isNull(prior)){
PROTECT(hstar = coerceVector(listElt(varobj,"hstar"),REALSXP));
XXinv = R2Cmat(hstar, m*p, m*p).i();
UNPROTECT(1);
}
else { XXinv = (X.t()*X).i(); }
UNPROTECT(1);
// Get the transpose of the Cholesky decomp of XXinv
SymmetricMatrix XXinvSym; XXinvSym << XXinv;
XXinv = Cholesky(XXinvSym);
// Cholesky of covariance
PROTECT(meanS = coerceVector(listElt(varobj,"mean.S"),REALSXP));
SymmetricMatrix meanSSym; meanSSym << R2Cmat(meanS, m, m);
Matrix Sigmat = Cholesky(meanSSym);
UNPROTECT(1);
// Matricies needed for the loop
ColumnVector bvec; bvec=0.0;
Matrix sqrtwish, impulse(dr,m*m*ns); impulse = 0.0;
SymmetricMatrix sigmadraw; sigmadraw = 0.0;
IdentityMatrix I(m);
GetRNGstate();
// Main Loop
for (i=1; i<=dr; i++){
// Wishart/Beta draws
sigmadraw << Sigmat*(T*rwish(I,df).i())*Sigmat.t();
sqrtwish = Cholesky(sigmadraw);
bvec = bcoefs+KP(sqrtwish, XXinv)*rnorms(m*m*p);
// IRF computation
impulse.Row(i) = irf_var_from_beta(sqrtwish, bvec, ns).t();
if (!(i%1000)){ Rprintf("Monte Carlo IRF Iteration = %d\n",i); }
} // end main loop
PutRNGstate();
int dims[]={dr,ns,m*m};
PROTECT(output = C2R3D(impulse,dims));
setclass(output,"mc.irf.VAR");
UNPROTECT(1);
return output;
}
