/usr/include/openturns/WhittleFactory.hxx is in libopenturns-dev 1.2-2.
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/**
* @file WhittleFactory.hxx
* @brief The class enables to get the coefficients of an ARMA process using its spectral density function
*
* Copyright (C) 2005-2013 EDF-EADS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
* @author schueller
* @date 2012-04-18 17:56:46 +0200 (Wed, 18 Apr 2012)
*/
#ifndef OPENTURNS_WHITTLEFACTORY_HXX
#define OPENTURNS_WHITTLEFACTORY_HXX
#include "ARMAFactoryImplementation.hxx"
#include "SpectralModelFactory.hxx"
#include "WhittleFactoryState.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class WhittleFactory
*
* The class implements the Whittle likelihood for estimating ARMA coefficients
*/
class WhittleFactory
: public ARMAFactoryImplementation
{
CLASSNAME;
public:
/** Default constructor */
WhittleFactory(const String & name = DefaultName);
/** Default constructor */
WhittleFactory(const UnsignedLong p,
const UnsignedLong q,
const Bool invertible = true,
const String & name = DefaultName);
/** Default constructor */
WhittleFactory(const Indices & p,
const Indices & q,
const Bool invertible = true,
const String & name = DefaultName);
/** Virtual constructor */
WhittleFactory * clone() const;
/** String converter */
String __repr__() const;
String __str__(const String & offset = "") const;
/** SpectralModelFactory acccessors - Make easy change of periodogram estimate */
SpectralModelFactory getSpectralModelFactory() const;
void setSpectralModelFactory(const SpectralModelFactory & factory);
/** Build method ==> estimating the coefficients */
ARMA * build(const TimeSeries & timeSeries,
NumericalPoint & informationCriteria) const;
ARMA * build(const TimeSeries & timeSeries) const;
ARMA * build(const ProcessSample & sample,
NumericalPoint & informationCriteria) const;
ARMA * build(const ProcessSample & sample) const;
/** Verbosity accessor */
Bool getVerbose() const;
void setVerbose(const Bool verbose);
/** Enable or disable the estimation history */
void enableHistory() const;
void disableHistory() const;
Bool isHistoryEnabled() const;
void clearHistory() const;
Collection< WhittleFactoryState > getHistory() const;
/** Starting points accessor */
void setStartingPoints(const Collection< NumericalPoint > & startingPoints);
Collection< NumericalPoint > getStartingPoints() const;
/** Method save() stores the object through the StorageManager */
void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
void load(Advocate & adv);
private :
/** Likelihood function ==> Compute the reduced form of the likelihood */
NumericalScalar computeLogLikelihood(const NumericalPoint & theta) const;
/** Log likelihood maximization, shared among the different build() methods */
ARMA * maximizeLogLikelihood(NumericalPoint & InformationCriterion) const;
/** Compute the spectral density at the relevant normalized frequencies */
void computeSpectralDensity(const SpectralModel & spectralModel) const;
/** Estimate the periodogram */
void buildSpectralDensity(const TimeSeries & timeSeries) const;
void buildSpectralDensity(const ProcessSample & sample) const;
/** Wrapper function passed to cobyla */
static int ComputeObjectiveAndConstraint( int n,
int m,
double * x,
double * f,
double * con,
void * state);
/** Initialize the starting points using the ResourceMap */
void initializeStartingPoints();
/** Spectral model factory ==> enables user to set anotherparametrized method*/
SpectralModelFactory spectralFactory_;
/** Frequency grid to be used in internal */
mutable NumericalPoint normalizedFrequencies_;
/** Time grid associated with the given data */
mutable RegularGrid timeGrid_;
/** Number of frequecies - Used to pass data to be used in computeLogLikeliHood */
mutable UnsignedLong m_;
/** only used to pass data to be used in computeLogLikeliHood */
mutable NumericalPoint spectralDensity_;
/** only used to pass data to be used in computeLogLikeliHood */
mutable NumericalScalar sigma2_;
/** Verbosity control */
Bool verbose_;
/** History flag */
mutable Bool isHistoryEnabled_;
/** History */
mutable PersistentCollection< WhittleFactoryState > history_;
/** Starting points for the estimation process */
PersistentCollection< NumericalPoint > startingPoints_;
}; /* class WhittleFactory */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_WHITTLEFACTORY_HXX */
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