diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/estpoly.R | 12 |
1 files changed, 6 insertions, 6 deletions
diff --git a/R/estpoly.R b/R/estpoly.R index c1a166f..009e66a 100644 --- a/R/estpoly.R +++ b/R/estpoly.R @@ -55,14 +55,14 @@ print.summary.estPoly <- function(object){ if(object$type=="arx"){ cat("Discrete-time ARX model: A(q^{-1})y[k] = B(q^{-1})u[k] + e[k] \n") } else if(object$type=="armax"){ - cat("Discrete-time ARX model: A(q^{-1})y[k] = B(q^{-1})u[k] + C(q^{-1})e[k] \n") + cat("Discrete-time ARMAX model: A(q^{-1})y[k] = B(q^{-1})u[k] + C(q^{-1})e[k] \n") } cat("Call: ");print(object$call);cat("\n\n") print(coef(object)) cat(paste("\nMSE:",format(object$mse,digits=4), "\tFPE:",format(object$fpe,digits=4))) - cat(paste("\nDoF:",object$df)) + if(object$type=="arx") cat(paste("\nDoF:",object$df)) } #' @export @@ -186,7 +186,7 @@ arx <- function(x,order=c(0,1,0)){ vcov <- sigma2 * chol2inv(qx$qr) - model <- idpoly(A = c(1,coef[1:na]),B = coef[na+1:(nb+1)], + model <- idpoly(A = c(1,coef[1:na]),B = coef[na+1:nb], ioDelay = nk,Ts=deltat(x)) estPoly(coefficients = model,vcov = vcov, sigma = sqrt(sigma2), @@ -269,12 +269,12 @@ armax <- function(x,order=c(0,1,1,0)){ # Initialize Algorithm i = 0 - theta <- matrix(runif(na+nb+nc,min=-0.2,max=0.2)) + theta <- matrix(rnorm(na+nb+nc)) X <- t(sapply(n+1:(N+n),reg)) Y <- yout[n+1:(N+n),,drop=F] e <- Y-X%*%theta - while ((sumSqRatio > tol) && (i<50)){ + while (sumSqRatio > tol){ sumsq0 <- sum(e^2) # Compute gradient @@ -293,7 +293,7 @@ armax <- function(x,order=c(0,1,1,0)){ sumSqRatio <- abs(sumsq0-sumsq)/sumsq0 i=i+1 } - + # print(sumSqRatio) e <- e[1:N,] sigma2 <- sum(e^2)/df qx <- qr(X[1:N,]);vcov <- sigma2 * chol2inv(qx$qr) |