コード例 #1
0
 TestFunctionInstance(TsData data, IReadDataBlock parameters) {
   this.data = data;
   if (parameters != null) {
     params[0] = parameters.get(0);
     params[1] = parameters.get(1);
   }
   int n = data.getLength();
   int freq = data.getFrequency().intValue();
   S = new Matrix(n, freq - 1);
   SeasonalDummies s = new SeasonalDummies(data.getFrequency());
   s.data(data.getDomain(), S.columnList());
   ssfdata = new SsfData(data.getValues().internalStorage(), null);
   SsfRwAr1 rwar1 = new SsfRwAr1();
   rwar1.setRho(params[0]);
   ssf = new RwExtendedSsf(rwar1, S.subMatrix(), params[1] * params[1]);
 }
コード例 #2
0
  double[] scomponent() {

    DisturbanceSmoother smoother = new DisturbanceSmoother();
    smoother.setSsf(ssf);
    smoother.process(ssfdata);
    SmoothingResults sstates = smoother.calcSmoothedStates();
    double[] cmp = new double[ssfdata.getCount()];
    DataBlock z = new DataBlock(ssf.getStateDim());
    DataBlock zc = z.drop(2, 0);
    for (int i = 0; i < cmp.length; ++i) {
      zc.copy(S.row(i));
      cmp[i] = sstates.zcomponent(i, z);
    }
    return cmp;
  }