Changeset 16571ae in tol


Ignore:
Timestamp:
Aug 3, 2012, 9:16:20 AM (14 years ago)
Author:
Víctor de Buen <vdebuen@…>
Branches:
1941-docker-image-to-test, devel, master
Children:
e3eddff
Parents:
4e555b7b
Message:

Refs #1136
Box-Pierce-Ljung statistic

git-svn-id: ​https://www.tol-project.org/svn/tolp/trunk@5009 be4846ae-f051-483a-831f-b64e7d08527f

Location:
tol/btol/bmodel
Files:
3 edited

Legend:

Unmodified
Added
Removed

  • tol/btol/bmodel/moddiag.cpp

    r4e555b7b r16571ae  
    9898//--------------------------------------------------------------------
    9999{
    100   Std(BText("\nTRACE FstRegAutCorTest "));
     100//Std(BText("\nTRACE FstRegAutCorTest "));
    101101  BInt m = 1;
    102102  BDat x,y;
    … …  
    114114//--------------------------------------------------------------------
    115115{
    116   Std(BText("\nTRACE FstSeaAutCorTest "));
     116//Std(BText("\nTRACE FstSeaAutCorTest "));
    117117  BInt m = periodicity_;
    118118  BDat x,y;
    … …  
    134134//--------------------------------------------------------------------
    135135{
    136   Std(BText("\nTRACE SndRegAutCorTest "));
     136//Std(BText("\nTRACE SndRegAutCorTest "));
    137137  BInt m = 2;
    138138  BDat x,y;
    … …  
    150150//--------------------------------------------------------------------
    151151{
    152   Std(BText("\nTRACE SndSeaAutCorTest "));
     152//Std(BText("\nTRACE SndSeaAutCorTest "));
    153153  BInt m = 2*periodicity_;
    154154  BDat x,y;
    … …  
    165165
    166166//--------------------------------------------------------------------
    167 BInt BModel::RegBoxPierceLjungTest(BInt n)
    168 
    169 /*! Runs the test of the Box-Pierce-Ljung statistic of regular
     167BInt BModel::BoxPierceLjungTest(BInt n)
     168
     169/*! Runs the test of the Box-Pierce-Ljung statistic of residuals
    170170 *  autocorrelations
    171171 */
    172172//--------------------------------------------------------------------
    173173{
    174   Std(BText("\nTRACE RegBoxPierceLjungTest "));
     174//Std(BText("\nTRACE BoxPierceLjungTest "));
    175175  BInt  m = aCorNum_;
    176176  BInt  p = arParam_;
    177177  BInt  q = maParam_;
    178   Std(BText("\nTRACE RegBoxPierceLjungTest N=")+A_.Data().Size());
    179   Std(BText("\nTRACE RegBoxPierceLjungTest m=")+m);
    180   Std(BText("\nTRACE RegBoxPierceLjungTest p=")+p);
    181   Std(BText("\nTRACE RegBoxPierceLjungTest q=")+q);
    182   RegularBoxPierceLjung_ = BoxPierceLjung(A_.Data(), m, p, q);
    183   Std(BText("\nTRACE RegBoxPierceLjungTest RegularBoxPierceLjung_=")+RegularBoxPierceLjung_);
     178  BoxPierceLjung_ = BoxPierceLjungACF(resACor_.Data(), m, N_);
    184179  BChiSquareDist Chi(m-p-q);
    185   diagValue_(n) = RegularBoxPierceLjung_;
    186   BDat x =  Chi.Dist(RegularBoxPierceLjung_);
    187   Std(BText("\nTRACE RegBoxPierceLjungTest x=")+x);
    188 //Std(BText("\nRegular Box-Pierce-Ljung = ")+RegularBoxPierceLjung_.Name());
     180  diagValue_(n) = BoxPierceLjung_;
     181  BDat x =  Chi.Dist(BoxPierceLjung_);
     182//Std(BText("\nTRACE BoxPierceLjungTest x=")+x);
     183//Std(BText("\nBox-Pierce-Ljung = ")+BoxPierceLjung_.Name());
    189184//Std(BText("\nProbability    = ")+x.Name());
    190185  return(Qualify(n,x,BTRUE));
    … …  
    192187
    193188//--------------------------------------------------------------------
    194 BInt BModel::SeaBoxPierceLjungTest(BInt n)
    195 
    196 /*! Runs the test of the Box-Pierce-Ljung statistic of seasonal
    197  *  autocorrelations
    198  */
    199 //--------------------------------------------------------------------
    200 {
    201   Std(BText("\nTRACE SeaBoxPierceLjungTest "));
    202   BBool necessary = (periodicity_ > 1) &&
    203   (A_.Data().Size()/periodicity_ > 2);
    204   BDat x;
    205   if(necessary)
    206   {
    207     int j = arFactors_.Size()-1;
    208     BInt  m = aCorNum_/periodicity_;
    209     BInt  p = arFactors_[j].Size()-1;
    210     BInt  q = maFactors_[j].Size()-1;
    211     BArray<BDat> seaRes(N_/periodicity_);
    212     for(int i=0; i<seaRes.Size(); i++)
    213     {
    214       seaRes[i] = A_.Data()[i*periodicity_];
    215   //  Std(BText("\nseaRes[")+i+"]="+seaRes[i]);
    216     }
    217     SeasonalBoxPierceLjung_ = BoxPierceLjung(seaRes, m, p, q);
    218     diagValue_(n) = SeasonalBoxPierceLjung_;
    219     BChiSquareDist Chi(m-p-q);
    220     x = Chi.Dist(SeasonalBoxPierceLjung_);
    221   /*
    222     Std(BText("\nSeasonal Box-Pierce-Ljung = ")+
    223     SeasonalBoxPierceLjung_.Name());
    224     Std(BText("\nProbability       = ")+x.Name());
    225   */
    226   }
    227   return(Qualify(n,x,necessary));
    228 }
    229 
    230 //--------------------------------------------------------------------
    231189BInt BModel::KullbackLeiblerDistanceTest(BInt n)
    232190
    … …  
    235193//--------------------------------------------------------------------
    236194{
    237   Std(BText("\nTRACE KullbackLeiblerDistanceTest "));
     195//Std(BText("\nTRACE KullbackLeiblerDistanceTest "));
    238196  static BReal paso = 0.25;
    239197  static BDat  KullbackLeiblerAvr  = -5.349629861;
    … …  
    286244//--------------------------------------------------------------------
    287245{
    288   Std(BText("\nTRACE FisherDistanceTest "));
     246//Std(BText("\nTRACE FisherDistanceTest "));
    289247  BInt numInterv = BInt(Sqrt(N_));
    290248//Std(BText("\nnumInterv=")+numInterv);
    … …  
    327285//--------------------------------------------------------------------
    328286{
    329   Std(BText("\nTRACE MinSignificationTest "));
     287//Std(BText("\nTRACE MinSignificationTest "));
    330288  BTStudentDist T(N_-numParam_);
    331289  BInt i;
    … …  
    358316//--------------------------------------------------------------------
    359317{
    360   Std(BText("\nTRACE MaxCorrelationTest "));
     318//Std(BText("\nTRACE MaxCorrelationTest "));
    361319  BInt  N = paramCor_.Rows();
    362320  if(!N || !paramCor_.Columns())
    … …  
    384342BInt BModel::MixedSignCorrTest(BInt n)
    385343
    386 /*! Runs the test of mixed signification and correlation of parameters
    387  */
    388 //--------------------------------------------------------------------
    389 {
    390   Std(BText("\nTRACE MixedSignCorrTest "));
     344/*! Runs the test of multicolinearity based on minimum significating
     345 *  combination of parameters using eigenvector of minimum eigenvalue
     346 *  of Jacobian.
     347 *   
     348 */
     349//--------------------------------------------------------------------
     350{
     351//Std(BText("\nTRACE MixedSignCorrTest "));
    391352  BTStudentDist T(N_-numParam_);
    392   BBool necessary = (diagQualify_[7] != BDIAGREFUSE) &&
    393                     (diagQualify_[8] != BDIAGREFUSE);
    394   BDat maxMixed = 0;
    395   if(necessary)
    396   {
    397     if(!paramCor_.Rows() || !paramCor_.Columns())
    398     {
    399       diagValue_(n) = BDat::Unknown();
    400       return(Qualify(n,1,BTRUE));
    401     }
    402     for(BInt i=0; i<paramCor_.Rows(); i++)
    403     {
    404       BDat  corr=0;
    405       for(BInt j=0; j<paramCor_.Rows(); j++)
    406       {
    407         if(i!=j)
    408         {
    409           BDat c = Abs(paramCor_(i,j));
    410           if(corr < c) { corr = c; }
    411         }
    412       }
    413       BDat sign   = 2*(1-T.Dist(Abs(param_[i]/paramSD_[i])));
    414       BDat mixed = Sqrt(Abs(sign*corr));
    415       if(maxMixed<mixed) { maxMixed = mixed; }
    416     }
    417     diagValue_(n) = maxMixed;
    418 //  Std(BText("\nMaximum mixed correlation-signification = ")+
    419 //  maxMixed.Name());
    420   }
    421   return(Qualify(n,maxMixed,necessary));
     353  BBool necessary = true;
     354  if(!numParam_ || (D_.Rows()!=numParam_)||(D_.Columns()!=numParam_))
     355  {
     356    diagValue_(n) = BDat::Unknown();
     357    return(Qualify(n,1,BTRUE));
     358  }
     359  BDat c = 0;
     360  int i;
     361  for(i=0;i<numParam_;i++)
     362  {
     363    c+=param_[i]*V_(i,numParam_-1);
     364  }
     365  BDat d = D_(numParam_-1,numParam_-1);
     366  BDat t = d*c/standardError_;
     367  diagValue_(n) = t;
     368  BDat refuseProb = 2*(1-T.Dist(Abs(t)));
     369  return(Qualify(n,refuseProb,BTRUE));
    422370}
    423371
    … …  
    431379//--------------------------------------------------------------------
    432380{
    433   Std(BText("\nTRACE UnitRootsProbTest "));
     381//Std(BText("\nTRACE UnitRootsProbTest "));
    434382  BDat x = 0;
    435383  BInt num = arParam_+maParam_;
    … …  
    490438      {
    491439        for(k=1; k<factors[j].Size(); k++,i++)
    492         { factors[j][k].PutCoef(-simula(0,i)); }
     440        { factors[j][k].PutCoef(-simula(i,0)); }
    493441        if(!(IsStationary(factors[j]))) { unarys[j]+=1; }
    494442      }
    … …  
    523471  switch(n)
    524472  {
    525     case  0 : return(FstRegAutCorTest     (n));
    526     case  1 : return(FstSeaAutCorTest     (n));
    527     case  2 : return(SndRegAutCorTest     (n));
    528     case  3 : return(SndSeaAutCorTest     (n));
    529     case  4 : return(RegBoxPierceLjungTest     (n));
    530     case  5 : return(SeaBoxPierceLjungTest     (n));
    531     case  6 : return(FisherDistanceTest     (n));
    532     case  7 : return(MinSignificationTest      (n));
    533     case  8 : return(MaxCorrelationTest     (n));
    534     case  9 : return(MixedSignCorrTest     (n));
    535     case 10 : return(UnitRootsProbTest     (n));
     473    case  0 : return(FstRegAutCorTest      (n));
     474    case  1 : return(FstSeaAutCorTest      (n));
     475    case  2 : return(SndRegAutCorTest      (n));
     476    case  3 : return(SndSeaAutCorTest      (n));
     477    case  4 : return(BoxPierceLjungTest    (n));
     478    case  5 : return(FisherDistanceTest    (n));
     479    case  6 : return(MinSignificationTest  (n));
     480    case  7 : return(MaxCorrelationTest    (n));
     481    case  8 : return(MixedSignCorrTest     (n));
     482    case  9 : return(UnitRootsProbTest     (n));
    536483    default : return(-1);
    537484  }
    … …  
    568515  qualification_ = 0;
    569516  arithmeticQualification_ = 0;
    570   for(BInt n = 0; n<testTitle_.Size(); n++)
    571   {
    572     BSet& s = Set(set[n+1]);
     517  int n=0, m=1;
     518  for(; n<testTitle_.Size(); n++, m++)
     519  {
     520    BSet& s = Set(set[m]);
     521    BText name = set[m]->Name();
     522    if(name=="RegBoxPierceLjungBounds")
     523    {
     524      name = "PierceLjungBounds";
     525    }
     526    else if(name=="SeaBoxPierceLjungBounds")
     527    {
     528      m++;
     529      s = Set(set[m]);
     530      name = set[m]->Name();
     531      continue;
     532    }
     533    if(name!=testName_[n])
     534    {
     535      Error(I2("Error in name of","Error en el nombre del")+
     536            " "+(n+1)+"-"+
     537            I2("th element of","ésimo elemento de")+
     538            " Set DiagnosticsBounds "+
     539            I2("that would be","que debería ser")+
     540            " '"+testName_[n]+"' "+
     541            I2("instead of","en lugar de")+
     542            " '"+name+"'."   );
     543    }
    573544    diagValue_  (n) = BDat::Unknown();
    574545    diagPunct_  (n) = 0;

  • tol/btol/bmodel/model.cpp

    r4e555b7b r16571ae  
    5555
    5656BArray<BText> BModel::qualifTitle_;
     57BArray<BText> BModel::testName_;
    5758BArray<BText> BModel::testTitle_;
    5859
    … …  
    134135    BModel::qualifTitle_[3] = I2("REFUSED",     "RECHAZADO");
    135136
    136     BModel::testTitle_.ReallocBuffer(11);
     137
     138    BModel::testName_.ReallocBuffer(10);
     139    BModel::testName_[ 0] = "FstRegAutCorBounds";
     140    BModel::testName_[ 1] = "FstSeaAutCorBounds";
     141    BModel::testName_[ 2] = "SndRegAutCorBounds";
     142    BModel::testName_[ 3] = "SndSeaAutCorBounds";
     143    BModel::testName_[ 4] = "BoxPierceLjungBounds";
     144    BModel::testName_[ 5] = "FisherBounds";
     145    BModel::testName_[ 6] = "MinSignificationBounds";
     146    BModel::testName_[ 7] = "MaxCorrelationBounds";
     147    BModel::testName_[ 8] = "MixedSignCorrBounds";
     148    BModel::testName_[ 9] = "UnitRootsProbBounds";
     149
     150
     151    BModel::testTitle_.ReallocBuffer(10);
    137152    BModel::testTitle_[ 0] = I2("First Regular AutoCorrelation",
    138153                                "Primera Autocorrelacion Regular");
    … …  
    143158    BModel::testTitle_[ 3] = I2("Second Seasonal AutoCorrelation",
    144159                                "Segunda Autocorrelación Estacional");
    145     BModel::testTitle_[ 4] = I2("Regular Box-Pierce-Ljung's statistic",
    146                                 "Estadístico de Box-Pierce-Ljung Regular");
    147     BModel::testTitle_[ 5] = I2("Seasonal Box-Pierce-Ljung's statistic",
    148                                 "Estadístico de Box-Pierce-Ljung Estacional");
    149     BModel::testTitle_[ 6] = I2("Fisher's Distance to Normal",
     160    BModel::testTitle_[ 4] = I2("Box-Pierce-Ljung's statistic",
     161                                "Estadístico de Box-Pierce-Ljung");
     162    BModel::testTitle_[ 5] = I2("Fisher's Distance to Normal",
    150163                                  "Distancia a la normal de Fisher");
    151     BModel::testTitle_[ 7] = I2("Minimum Signification of Parameters",
     164    BModel::testTitle_[ 6] = I2("Minimum Signification of Parameters",
    152165                                "Mínima Significación de los Parámetros");
    153     BModel::testTitle_[ 8] = I2("Maximum Correlation of Parameters",
     166    BModel::testTitle_[ 7] = I2("Maximum Correlation of Parameters",
    154167                                "Máxima Correlación de los Parámetros");
    155     BModel::testTitle_[ 9] = I2("Mixed Signification and Correlation",
    156                                 "Combinacion de Significación y Correlación");
    157     BModel::testTitle_[10] = I2("Probabilty of Unary Roots",
     168    BModel::testTitle_[ 8] = I2("Test of multicolinearity",
     169                                "Test de multicolinealidad");
     170    BModel::testTitle_[ 9] = I2("Probabilty of Unary Roots",
    158171                                "Probabilidad de Raíces Unitarias");
    159172    isInitialized = BTRUE;

  • tol/btol/bmodel/tol_bmodel.h

    r4e555b7b r16571ae  
    7070{
    7171public: //member data
     72  static BArray<BText> testName_;
    7273  static BArray<BText> testTitle_;
    7374  static BArray<BText> qualifTitle_;
    … …  
    190191  BDat            varianze_;
    191192  BDat            SwartzInfo_;
    192   BDat            RegularBoxPierceLjung_;
    193   BDat            SeasonalBoxPierceLjung_;
     193  BDat            BoxPierceLjung_;
    194194 
    195195  BDat    maxLikelihoodCoef_;
    … …  
    296296  BInt SndRegAutCorTest            (BInt n);
    297297  BInt SndSeaAutCorTest            (BInt n);
    298   BInt RegBoxPierceLjungTest       (BInt n);
    299   BInt SeaBoxPierceLjungTest       (BInt n);
     298  BInt BoxPierceLjungTest          (BInt n);
    300299  BInt KullbackLeiblerDistanceTest (BInt n);
    301300  BInt FisherDistanceTest          (BInt n);
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