Changeset 7483990 in tol

Timestamp:

Mar 24, 2011, 3:40:14 PM (16 years ago)

Author:

Víctor de Buen <vdebuen@…>

Branches:

1941-docker-image-to-test, devel, master

Children:

6080cea

Parents:

8dcdd01

Message:

Refs #1136

git-svn-id: ​https://www.tol-project.org/svn/tolp/trunk@3350 be4846ae-f051-483a-831f-b64e7d08527f

File:

• tol/stdlib/math/stat/models/bayesian/arima/_arma_process.tol (modified) (2 diffs)

tol/stdlib/math/stat/models/bayesian/arima/_arma_process.tol

@@ -10 +10 @@
 [[
   Text _.autodoc.description = "Methods related with ARMA process";
+  
+  ////////////////////////////////////////////////////////////////////////////
+  Text _.autodoc.member.ACOV =
+  "Returns theoretical autocovariance function from 0 to given order";
+  Matrix ACOV(Polyn ar, Polyn ma, Real order)
+  ////////////////////////////////////////////////////////////////////////////
+  {
+    Matrix acov = ARMATACov(ar,ma,order+1)
+  };
+
+  ////////////////////////////////////////////////////////////////////////////
+  Text _.autodoc.member.ACF =
+  "Returns theoretical autocorrelation function from 0 to given order";
+  Matrix ACF(Polyn ar, Polyn ma, Real order)
+  ////////////////////////////////////////////////////////////////////////////
+  {
+    Matrix acov = ARMATACov(ar,ma,order+1);
+    Matrix acf = acov * 1/MatDat(acov,1,1)
+  };
+
+  ////////////////////////////////////////////////////////////////////////////
+  Text _.autodoc.member.PACF =
+  "Returns theoretical partial autocorrelation function from 0 to given order";
+  Matrix ACF(Polyn ar, Polyn ma, Real order)
+  ////////////////////////////////////////////////////////////////////////////
+  {
+    Matrix acov = ARMATACov(ar,ma,order+1);
+    Matrix acf = acov * 1/MatDat(acov,1,1);
+    Matrix fi = DurbinAutoReg(Sub(acf,2,1,order,1),order);
+    Matrix pacf = Col(1) << Tra(SubDiag(fi,0))
+  };
 
   ////////////////////////////////////////////////////////////////////////////
@@ -436 +467 @@
       _0.5_m_log2_PI_s2 - 0.5*_.m*VMatMoment(a,2)/_.s2
     }
-  ]])}
+  ]])};
+
+  
 
 ]];