diff options
| -rw-r--r-- | R/estpoly.R | 20 |
1 files changed, 19 insertions, 1 deletions
diff --git a/R/estpoly.R b/R/estpoly.R index f7293e8..8714ca7 100644 --- a/R/estpoly.R +++ b/R/estpoly.R @@ -1,7 +1,25 @@ estARX <- function(data,order=c(0,1,0)){ y <- as.matrix(data$output) - u <- as.matrix(data$input) + u <- as.matrix(data$input); N <- dim(y)[1] na <- order[1];nb <- order[2]; nk <- order[3] + nb1 <- nb+nk; n <- max(na,nb1); df <- N - n + padZeros <- function(x,n) c(rep(0,n),x,rep(0,n)) + yout <- apply(y,2,padZeros,n=n); + uout <- apply(u,2,padZeros,n=n); + reg <- function(i) cbind(-yout[i-1:na,],uout[i-nk:nb1]) + X <- t(sapply(n+1:(N+n),reg)) + Y <- yout[n+1:(N+n),,drop=F] + + qx <- qr(X); coef <- qr.solve(qx,Y) + sigma2 <- sum((Y-X%*%coef)^2)/df + + vcov <- sigma2 * chol2inv(qx$qr) + colnames(vcov) <- rownames(vcov) <- colnames(X) + + list(coefficients = coef, + vcov = vcov, + sigma = sqrt(sigma2), + df = df) }
\ No newline at end of file |