diff options
| -rw-r--r-- | R/estpoly.R | 12 |
1 files changed, 7 insertions, 5 deletions
diff --git a/R/estpoly.R b/R/estpoly.R index 9128bec..02b7b0e 100644 --- a/R/estpoly.R +++ b/R/estpoly.R @@ -119,7 +119,7 @@ residplot <- function(model,newdata=NULL){ u <- newdata$input } - acorr <- acf(e,plot = F); ccorr <- ccf(u[,1],e,plot = F) + acorr <- acf(e,plot = F); ccorr <- ccf(u[,1],e[,],plot = F) par(mfrow=c(2,1),mar=c(3,4,3,2)) plot(acorr,main="ACF of residuals") plot(ccorr,main="CCF between the input and residuals",ylab="CCF") @@ -299,7 +299,8 @@ armax <- function(x,order=c(0,1,1,0)){ # Update Parameters H <- 1/N*(t(grad)%*%grad) + lambda*diag(na+nb+nc) - theta <- theta + 1/N*solve(H)%*%t(grad)%*%e + Hinv <- solve(H) + theta <- theta + 1/N*Hinv%*%t(grad)%*%e # Update residuals e <- Y-X%*%theta @@ -312,7 +313,7 @@ armax <- function(x,order=c(0,1,1,0)){ # print(sumSqRatio) e <- e[1:N,] sigma2 <- sum(e^2)/df - qx <- qr(X[1:N,]);vcov <- sigma2 * chol2inv(qx$qr) + vcov <- sigma2 * Hinv model <- idpoly(A = c(1,theta[1:na]),B = theta[na+1:nb], C = c(1,theta[na+nb+1:nc]),ioDelay = nk,Ts=deltat(x)) @@ -411,7 +412,8 @@ oe <- function(x,order=c(1,1,0)){ # Update Parameters H <- 1/N*(t(grad)%*%grad) + lambda*diag(nb+nf) - theta <- theta + 1/N*solve(H)%*%t(grad)%*%e + Hinv <- solve(H) + theta <- theta + 1/N*Hinv%*%t(grad)%*%e # Update IVs and residuals iv <- X%*%theta; e <- y-iv @@ -423,7 +425,7 @@ oe <- function(x,order=c(1,1,0)){ } # print(sumSqRatio) sigma2 <- sum(e^2)/df - qx <- qr(X);vcov <- sigma2 * chol2inv(qx$qr) + vcov <- sigma2 * Hinv model <- idpoly(B = theta[1:nb],F1 = c(1,theta[nb+1:nf]), ioDelay = nk,Ts=deltat(x)) |