diff options
| -rw-r--r-- | R/rarx.R | 10 |
1 files changed, 4 insertions, 6 deletions
@@ -22,17 +22,15 @@ rarx <- function(x,order=c(1,1,1),lambda=0.95){ # R0 <- reg(n+1)%*%t(reg(n+1)) # Plast <- solve(R0) Plast <- 10^4*diag(na+nb) - theta <- matrix(0,N,na+nb) - theta[1,] <- Plast%*%reg(n+1)%*%y[1,,drop=FALSE] + theta <- matrix(0,N+1,na+nb) yhat <- y - yhat[1,] <- t(reg(n+1))%*%t(theta[1,,drop=FALSE]) - for(i in 2:N){ + for(i in 1:N){ temp <- reg(n+i) - yhat[i,] <- t(temp)%*%t(theta[i-1,,drop=FALSE]) + yhat[i,] <- t(temp)%*%t(theta[i,,drop=FALSE]) eps_i <- y[i,,drop=FALSE] - yhat[i,,drop=FALSE] kappa_i <- Plast%*%temp/(lambda+t(temp)%*%Plast%*%temp)[1] - theta[i,] <- t(t(theta[i-1,,drop=F])+eps_i[1]*kappa_i) + theta[i+1,] <- t(t(theta[i,,drop=F])+eps_i[1]*kappa_i) Plast <- (diag(na+nb)-kappa_i%*%t(temp))%*%Plast/lambda } list(theta=theta,yhat=yhat,P=Plast) |