Changeset 724
 Timestamp:
 03/11/09 16:48:39 (7 years ago)
 Files:

 1 modified
Legend:
 Unmodified
 Added
 Removed

tolp/trunk/tol/stdlib/math/stat/models/bayesian/arima/_arma_process.tol
r707 r724 175 175 Real _.n = Max(_.p,_.q)+_.p+1; 176 176 //Real _trc.6 = { WriteLn("TRACE FastCholeskiCovFactor _.n=" << _.n); 0 }; 177 //Calculates de main minor of length _.n of joint ARMA covariance 178 VMatrix _.cov_arma_n = 179 ARMAProcess::DoDrop(Pol2VMat(ARMATACov(_.ar,_.ma,_.n), _.n, _.n)); 177 180 178 //Calculates de main minor of length _.n of just pure AR covariance 181 179 VMatrix _.cov_ar_n = … … 193 191 (ARMAProcess::ExtendBandedLowTriangToeplitz(_.Li_ar_n,_.m)+_.n^2)_.n^2; 194 192 //Real _trc.10 = { WriteLn("TRACE FastCholeskiCovFactor _.Li_ar=" << (Matrix VMat2Mat(_.Li_ar))); 0 }; 193 194 //Calculates de main minor of length _.n of joint ARMA covariance 195 VMatrix _.cov_arma_n = 196 ARMAProcess::DoDrop(Pol2VMat(ARMATACov(_.ar,_.ma,_.n), _.n, _.n)); 195 197 //Filters full ARMA covariance of AR factor 196 198 VMatrix _.cov_ma_n = (_.Li_ar_n*_.cov_arma_n*Tra(_.Li_ar_n)+_.n^2)_.n^2;