probe_nlar.c File Reference

#include "internal.h"
#include "pomp_mat.h"
#include <stdio.h>

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Functions
static void	poly_nlar_fit (double *beta, double *y, int n, int nterms, int *lag, int *power, double *X)
SEXP	probe_nlar (SEXP x, SEXP lags, SEXP powers)

Function Documentation

poly_nlar_fit()

static void poly_nlar_fit ( double *  beta, double *  y, int  n, int  nterms, int *  lag, int *  power, double *  X  )

static

Definition at line 39 of file probe_nlar.c.

                                                                        {
  // 'x' is an n vector of data.
  // 'nterms' gives the number of terms on the rhs of the autoregression.
  // 'lag[i]' gives the lag of the ith term on the rhs.
  // 'power[i]' gives the power to which the ith rhs term should be raised.
  // 'beta' contains the ar coefficients
 
  int maxlag, nx, ny, ok, ct;
  int i, j, k;
  double xx, *yp;
  double obs1;
 
  // find maxlag
  for (maxlag = 0, i = 0; i < nterms; i++)
    maxlag = (lag[i] > maxlag) ? lag[i] : maxlag;
  ny = n - maxlag;              // maximum response vector length
 
  // compute the series mean
  for (j = 0, ct = 0, xx = 0.0; j < n; j++)
    if (R_FINITE(y[j])) {
      xx += y[j];
      ct++;
    }
  xx /= ct; // series mean
 
  // center the whole series
  // also check to see if there is any variability in the predictors
  ok = 0;
  obs1 = R_NaReal;
  for (j = 0; j < n; j++) {
    if (R_FINITE(y[j])) {
      if (!ok && (j < ny)) {    // j < ny means x[j] is a predictor
        if (!R_FINITE(obs1)) obs1 = y[j];
        else if (y[j] != obs1) ok = 1;
      }
      y[j] -= xx;               // subtracting series mean
    }
  }
 
  if (!ok) {                    // data had no variability
 
    for (i = 0; i < nterms; i++) beta[i] = 0.0;
 
  } else {                      // data not all the same
 
    double *Xp;
    int finite[ny];
 
    // test for NA rows in model matrix and response vector
    for (nx = 0, yp = y+maxlag, j = 0; j < ny; j++) {
      finite[j] = (R_FINITE(yp[j])) ? 1 : 0; // finite response?
      for (i = 0; i < nterms; i++)
        finite[j] = (R_FINITE(yp[j-lag[i]])) ? finite[j] : 0; // finite in model matrix row j, column i
      if (finite[j]) nx++;
    }
    // nx is now the number of non-NA rows in the model matrix
 
    // build the model matrix, omitting NA rows
    for (Xp = X, i = 0; i < nterms; i++) { // work through the terms
      for (j = 0; j < ny; j++) {
        if (finite[j]) {
          xx = yp[j-lag[i]];    // current predictor
          *Xp = xx;
          for (k = 1; k < power[i]; k++) *Xp *= xx; // raise to the appropriate power
          Xp++;
        }
      }
    }
    // X is now the nx by nterms model matrix
 
    // drop the NA rows from the response data
    for (i = 0, j = 0; j < ny; j++)
      if (finite[j]) yp[i++] = yp[j]; // keep this row
    // response vector is now length nx
 
    {
      double tau[nterms];
      int pivot[nterms];
 
      // first QR decompose the model matrix
      pomp_qr(X,nx,nterms,pivot,tau);
      // then solve R b = Q'y for b
      pomp_qrqy(yp,X,nx,tau,nx,1,nterms,"left","transpose"); // y <- Q'y
      pomp_backsolve(X,nx,nterms,yp,1,"Upper","No transpose","Non-unit");   // y <- R^{-1} y
 
      // unpivot and store coefficients in beta
      for (i = 0; i < nterms; i++) beta[pivot[i]] = yp[i];
 
    }
 
  }
 
}

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probe_nlar()

SEXP probe_nlar	(	SEXP	x,
		SEXP	lags,
		SEXP	powers
	)

Definition at line 9 of file probe_nlar.c.

                                                 {
  SEXP y, beta, beta_names;
  int n, nterms;
  int k;
  double *mm;
  char tmp[BUFSIZ];
 
  n = LENGTH(x);                // n = # of observations
  nterms = LENGTH(lags);
 
  PROTECT(y = duplicate(AS_NUMERIC(x)));
  PROTECT(beta = NEW_NUMERIC(nterms));
 
  mm = (double *) R_alloc(n*nterms,sizeof(double)); // storage for the model matrix
  poly_nlar_fit(REAL(beta),REAL(y),n,nterms,INTEGER(lags),INTEGER(powers),mm);
 
  PROTECT(beta_names = NEW_STRING(nterms));
  for (k = 0; k < nterms; k++) {
    snprintf(tmp,BUFSIZ,"nlar.%d^%d",INTEGER(lags)[k],INTEGER(powers)[k]);
    SET_STRING_ELT(beta_names,k,mkChar(tmp));
  }
  SET_NAMES(beta,beta_names);
 
  UNPROTECT(3);
  return beta;
}

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