diff options
Diffstat (limited to 'R')
| -rw-r--r-- | R/estpoly.R | 18 |
1 files changed, 15 insertions, 3 deletions
diff --git a/R/estpoly.R b/R/estpoly.R index e6a0ae9..272204f 100644 --- a/R/estpoly.R +++ b/R/estpoly.R @@ -183,7 +183,7 @@ arx <- function(x,order=c(1,1,1),lambda=0.1,intNoise=FALSE, if(!fixedflag){ # checking for correct specification of fixed parameters g(fixedA,fixedB) %=% lapply(fixed,length) - if(fixedA != na && fixedB != nb) + if(fixedA != na || fixedB != nb) stop("Number of parameters incorrectly specified in 'fixed'") fixedpars <- unlist(fixed) @@ -217,9 +217,11 @@ arx <- function(x,order=c(1,1,1),lambda=0.1,intNoise=FALSE, temp <- lapply(n+1:(N+n),reg) X <- do.call(rbind,lapply(temp, function(x) x[[1]])) Y <- yout[n+1:(N+n),,drop=F] + fixedY <- matrix(rep(0,nrow(Y))) if(!fixedflag){ fixedreg <- do.call(rbind,lapply(temp, function(x) x[[2]])) - Y <- Y - fixedreg%*%fixedpars + fixedY <- fixedreg%*%fixedpars + Y <- Y - fixedY } # lambda <- 0.1 @@ -230,9 +232,19 @@ arx <- function(x,order=c(1,1,1),lambda=0.1,intNoise=FALSE, sigma2 <- sum((Y-X%*%coef)^2)/(df+n) vcov <- sigma2 * innerinv - fit <- (X%*%coef)[1:N,,drop=F] + fit <- (X%*%coef+fixedY)[1:N,,drop=F] if(intNoise) fit <- apply(fit,2,cumsum) + if(!fixedflag){ + findex <- which(!is.na(unlist(fixed))) + eindex <- 1:(na+nb) + eindex <- eindex[!eindex %in% findex] + temp <- rep(0,na+nb); temp2 <- matrix(0,nrow=na+nb,ncol=na+nb) + + temp[eindex] <- coef; temp[findex] <- fixedpars; coef <- temp + temp2[eindex,eindex] <- vcov; vcov <- temp2 + } + model <- idpoly(A = c(1,coef[1:na]),B = coef[na+1:nb], ioDelay = nk,Ts=deltat(x),noiseVar = sqrt(sigma2), intNoise=intNoise,unit=x$unit) |