示例#1
0
文件: pacf.c 项目: csilles/cxxr
SEXP arma0_kfore(SEXP pG, SEXP pd, SEXP psd, SEXP nahead)
{
    int dd = asInteger(pd);
    int d, il = asInteger(nahead), ifault = 0, i, j;
    double *del, *del2;
    SEXP res, x, var;
    GET_STARMA;

    PROTECT(res = allocVector(VECSXP, 2));
    SET_VECTOR_ELT(res, 0, x = allocVector(REALSXP, il));
    SET_VECTOR_ELT(res, 1, var = allocVector(REALSXP, il));

    d = dd + G->ns * asInteger(psd);

    del = (double *) R_alloc(d + 1, sizeof(double));
    del2 = (double *) R_alloc(d + 1, sizeof(double));
    del[0] = 1;
    for(i = 1; i <= d; i++) del[i] = 0;
    for (j = 0; j < dd; j++) {
	for(i = 0; i <= d; i++) del2[i] = del[i];
	for(i = 0; i <= d - 1; i++) del[i+1] -= del2[i];
    }
    for (j = 0; j < asInteger(psd); j++) {
	for(i = 0; i <= d; i++) del2[i] = del[i];
	for(i = 0; i <= d - G->ns; i++) del[i + G->ns] -= del2[i];
    }
    for(i = 1; i <= d; i++) del[i] *= -1;


    forkal(G, d, il, del + 1, REAL(x), REAL(var), &ifault);
    if(ifault) error(_("forkal error code %d"), ifault);
    UNPROTECT(1);
    return res;
}
示例#2
0
文件: ctsa.c 项目: binaryWorld/ctsa
void sarima_predict(sarima_object obj, double *inp, int L, double *xpred, double *amse) {
	int d, i, N, ip, iq, ir,D,P,Q,s,p,q,t,ps,qs,j;
	double *coef1,*coef2,*delta, *W, *resid, *phi, *theta;
	double wmean;

	d = obj->d;
	N = obj->N;
	p = obj->p;
	q = obj->q;
	D = obj->D;
	P = obj->P;
	Q = obj->Q;
	s = obj->s;

	ip = p + s * P;
	iq = q + s * Q;
	ir = p + s * P;

	t = 1 + q + s*Q;
	if (ir < t) {
		ir = t;
	}
	ps = P;
	qs = Q;
	coef1 = (double*)malloc(sizeof(double)* (d + 1));
	coef2 = (double*)malloc(sizeof(double)* (D*s + 1));
	delta = (double*)malloc(sizeof(double)* (d + D*s + 1));
	W = (double*)malloc(sizeof(double)* N);
	resid = (double*)malloc(sizeof(double)* N);


	phi = (double*)malloc(sizeof(double)* ir);
	theta = (double*)malloc(sizeof(double)* ir);
	wmean = 0.0;
	coef1[0] = coef2[0] = 1.0;

	if (d == 0 && D == 0) {
		*delta = 1.0;
		wmean = obj->mean;
	}

	if (d > 0) {
		deld(d, coef1);
	}

	if (D > 0) {
		delds(D, s, coef2);
	}

	conv(coef1, d + 1, coef2, D*s + 1, delta);
	//mdisplay(delta, 1, d + D*s + 1);
	
	for (i = 1; i <= d+D*s; ++i) {
		delta[i] = -1.0 * delta[i];
	}
	for (i = 0; i < N; ++i) {
		W[i] = inp[i];
		if (d == 0 && D == 0) {
			W[i] -= wmean;
		}
		resid[i] = obj->res[i];
	}
	for (i = 0; i < ir; ++i) {
		phi[i] = theta[i] = 0.0;
	}

	for (i = 0; i < p; ++i) {
		phi[i] = obj->phi[i];
	}

	for (i = 0; i < q; ++i) {
		theta[i] = -1.0 *  obj->theta[i];
	}

	for (j = 0; j < ps; ++j) {
		phi[(j + 1)*s - 1] += obj->PHI[j];
		for (i = 0; i < p; ++i) {
			phi[(j + 1)*s + i] -= obj->phi[i] * obj->PHI[j];
		}
	}

	for (j = 0; j < qs; ++j) {
		theta[(j + 1)*s - 1] -= obj->THETA[j];
		for (i = 0; i < q; ++i) {
			theta[(j + 1)*s + i] += obj->theta[i] * obj->THETA[j];
		}
	}

	forkal(ip, iq, d+D*s, phi, theta, delta + 1, N, W, resid, L, xpred, amse);

	for (i = 0; i < L; ++i) {
		xpred[i] += wmean;
	}

	free(coef1);
	free(coef2);
	free(delta);
	free(W);
	free(resid);
	free(phi);
	free(theta);
}
示例#3
0
文件: ctsa.c 项目: binaryWorld/ctsa
void ar_predict(ar_object obj, double *inp, int L, double *xpred, double *amse) {
	int d, i, N, ip, iq, ir;
	double *delta, *W, *resid, *phi, *theta;
	double wmean;

	d = 0;
	N = obj->N;
	ip = obj->p;
	iq = 0;
	delta = (double*)malloc(sizeof(double)* (d + 1));
	W = (double*)malloc(sizeof(double)* N);
	resid = (double*)malloc(sizeof(double)* N);

	ir = iq + 1;

	if (ir < ip) {
		ir = ip;
	}

	phi = (double*)malloc(sizeof(double)* ir);
	theta = (double*)malloc(sizeof(double)* ir);
	wmean = 0.0;
	if (d > 0) {
		deld(d, delta);
	}
	else {
		*delta = 1.0;
		wmean = obj->mean;
	}
	for (i = 1; i <= d; ++i) {
		delta[i] = -1.0 * delta[i];
	}
	for (i = 0; i < N; ++i) {
		W[i] = inp[i];
		if (d == 0) {
			W[i] -= wmean;
		}
		resid[i] = obj->res[i];
	}
	for (i = 0; i < ir; ++i) {
		phi[i] = theta[i] = 0.0;
	}

	for (i = 0; i < ip; ++i) {
		phi[i] = obj->phi[i];
	}

	for (i = 0; i < iq; ++i) {
		theta[i] = -1.0 *  0.0;
	}

	forkal(ip, iq, d, phi, theta, delta + 1, N, W, resid, L, xpred, amse);

	for (i = 0; i < L; ++i) {
		xpred[i] += wmean;
	}

	free(delta);
	free(W);
	free(resid);
	free(phi);
	free(theta);
}