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; |