From 79737d5e93037300eb78d89300af4bd44e4a781c Mon Sep 17 00:00:00 2001
From: Suraj Yerramilli
Date: Sun, 22 May 2016 09:35:37 +0530
Subject: added the recursive arx method

---
 NAMESPACE |  1 +
 R/rarx.R  | 30 ++++++++++++++++++++++++++++--
 2 files changed, 29 insertions(+), 2 deletions(-)

diff --git a/NAMESPACE b/NAMESPACE
index 5350368..ce892cd 100644
--- a/NAMESPACE
+++ b/NAMESPACE
@@ -56,6 +56,7 @@ export(oe)
 export(optimOptions)
 export(outputData)
 export(outputNames)
+export(rarx)
 export(read.idframe)
 export(read.table.idframe)
 export(residplot)
diff --git a/R/rarx.R b/R/rarx.R
index 8b477fa..b55e5ce 100644
--- a/R/rarx.R
+++ b/R/rarx.R
@@ -1,3 +1,4 @@
+#' @export
 rarx <- function(x,order=c(1,1,1),lambda=0.95){
   y <- outputData(x); u <- inputData(x)
   N <- dim(y)[1]
@@ -7,7 +8,32 @@ rarx <- function(x,order=c(1,1,1),lambda=0.95){
   yout <- apply(y,2,padZeros,n=n)
   uout <- apply(u,2,padZeros,n=n)
   
-  fixedflag = is.null(fixed)
   uindex <- nk:nb1
-  yindex <- 1:na
+  if(na!=0) yindex <- 1:na
+  
+  reg <- function(i) {
+    # regressor
+    temp <- numeric(0)
+    if(na!=0) temp <- c(temp,-yout[i-yindex,])
+    phi <- c(temp,uout[i-uindex,])
+    phi
+  }
+  
+  # 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]
+  yhat <- y
+  yhat[1,] <- t(reg(n+1))%*%t(theta[1,,drop=FALSE])
+  
+  for(i in 2:N){
+    temp <- reg(n+i)
+    yhat[i,] <- t(temp)%*%t(theta[i-1,,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)
+    Plast <- (diag(na+nb)-kappa_i%*%t(temp))%*%Plast/lambda
+  }
+  list(theta=theta,yhat=yhat,P=Plast)
 }
\ No newline at end of file
-- 
cgit