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Changes between Version 9 and Version 10 of Ticket #664


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Timestamp:
Mar 25, 2009, 6:48:08 PM (16 years ago)
Author:
Víctor de Buen Remiro
Comment:

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  • Ticket #664 – Description

    v9 v10  
    2929 1. Since [[LatexEquation(\beta $$)]] are determined by [[LatexEquation(\epsilon $$)]] by means of a full range linear equation, their densities have constant ratio, and logarithm of density of candidate vector can be calculated directly as [[BR]] [[LatexEquation(cte -\frac{T}{2}\log\left(2\pi\right)-\frac{1}{2}\sum_{t=1}^{T}\epsilon_{t}^{2}$$)]]
    3030 1. ARIMA noise for current system becomes simply [[BR]][[LatexEquation(z_t = \frac{\theta\left(B\right)}{\phi\left(B\right)} e_t $$)]]
    31  1. Then, we can solve sparse linear system [[BR]][[LatexEquation(Y = X \beta + z $$)]]
     31 1. Then, we can solve sparse linear system [[BR]][[LatexEquation(X \beta = Y-z $$)]]
    3232 1. If resulting vector doesn't match constraining inequations [[BR]] [[LatexEquation(A \beta <= a $$)]][[BR]] density will be toggled to [[LatexEquation(-\infty $$)]] in order to force rejection.
    3333