Mercurial > hg > ltpda

annotate m-toolbox/test/diagnostics/ltpda_arma_time.m @ 12:86aabb42dd84 database-connection-manager

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author Daniele Nicolodi <nicolodi@science.unitn.it>
date Mon, 05 Dec 2011 16:20:06 +0100
parents f0afece42f48
children
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0
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Daniele Nicolodi <nicolodi@science.unitn.it>
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1 function varargout = ltpda_arma_time(varargin)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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2 % LTPDA_ARMA_TIME estimates the ARMA parameters of the transfer function
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Daniele Nicolodi <nicolodi@science.unitn.it>
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3 % relating an output to an input
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Daniele Nicolodi <nicolodi@science.unitn.it>
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4 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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5 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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Daniele Nicolodi <nicolodi@science.unitn.it>
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6 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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7 % DESCRIPTION: LTPDA_ARMA_TIME estimates the ARMA parameters of the
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Daniele Nicolodi <nicolodi@science.unitn.it>
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8 % transfer function relating an output to an input time series. The
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Daniele Nicolodi <nicolodi@science.unitn.it>
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9 % algorithm uses the IV method to find a set of initial parameters
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Daniele Nicolodi <nicolodi@science.unitn.it>
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10 % and then performs an iterative search based on the Optimization
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Daniele Nicolodi <nicolodi@science.unitn.it>
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11 % Toolbox.
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Daniele Nicolodi <nicolodi@science.unitn.it>
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12 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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13 % CALL: b = ltpda_arma_time(ax,ay,pl)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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14 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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15 % INPUTS: ax - analysis object containig the input time series
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Daniele Nicolodi <nicolodi@science.unitn.it>
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16 % ay - analysis object containig the output time series
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Daniele Nicolodi <nicolodi@science.unitn.it>
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17 % pl - parameters list
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Daniele Nicolodi <nicolodi@science.unitn.it>
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18 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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19 % OUTPUTS: b - cdata type analysis object containing the ARMA
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Daniele Nicolodi <nicolodi@science.unitn.it>
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20 % parameters and the residual of the fit
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Daniele Nicolodi <nicolodi@science.unitn.it>
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21 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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22 % PARAMETERS:
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Daniele Nicolodi <nicolodi@science.unitn.it>
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23 % MaxIter - Maximum number of iterations to be performed by the
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Daniele Nicolodi <nicolodi@science.unitn.it>
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24 % iterative search (default 4e2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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25 % MaxFunEvals - Maximum number of function evaluations (default 1e2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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26 % TolX - Tolerance on the estimated parameter (default 1e-6)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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27 % TolFun - Tolerance on the evaluated function (default 1e-6)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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28 % UpBound - Array of parameters upper bounds for the iterative search
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Daniele Nicolodi <nicolodi@science.unitn.it>
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29 % (default is 1 for each parameter)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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30 % LowBound - Array of parameters lower bounds for the iterative search
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Daniele Nicolodi <nicolodi@science.unitn.it>
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31 % (default is 1 for each parameter)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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32 % ARMANum - MA order of the ARMA filter (default 2)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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33 % ARMADen - AR order of the ARMA filter (default 1)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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34 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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35 % VERSION: $Id: ltpda_arma_time.m,v 1.1 2008/03/04 12:55:05 miquel Exp $
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Daniele Nicolodi <nicolodi@science.unitn.it>
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36 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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37 % HISTORY: 15-02-2008 M Nofrarias
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Daniele Nicolodi <nicolodi@science.unitn.it>
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38 % Creation
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Daniele Nicolodi <nicolodi@science.unitn.it>
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39 %
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40 %
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Daniele Nicolodi <nicolodi@science.unitn.it>
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41 % TODO: - Add parameters errors
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Daniele Nicolodi <nicolodi@science.unitn.it>
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42 % - Pass from univariate to multivariate
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43 %
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44 %
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45 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
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46
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47
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48
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Daniele Nicolodi <nicolodi@science.unitn.it>
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49 %% Standard history variables
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50
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Daniele Nicolodi <nicolodi@science.unitn.it>
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51 ALGONAME = mfilename;
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52 VERSION = '$Id: ltpda_arma_time.m,v 1.1 2008/03/04 12:55:05 miquel Exp $';
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53 CATEGORY = 'SIGPROC';
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54
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55
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Daniele Nicolodi <nicolodi@science.unitn.it>
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56 %% Check if this is a call for parameters
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Daniele Nicolodi <nicolodi@science.unitn.it>
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57 if nargin == 1 && ischar(varargin{1})
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Daniele Nicolodi <nicolodi@science.unitn.it>
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58 in = char(varargin{1});
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Daniele Nicolodi <nicolodi@science.unitn.it>
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59 if strcmpi(in, 'Params')
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Daniele Nicolodi <nicolodi@science.unitn.it>
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60 varargout{1} = getDefaultPL();
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Daniele Nicolodi <nicolodi@science.unitn.it>
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61 return
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Daniele Nicolodi <nicolodi@science.unitn.it>
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62 elseif strcmpi(in, 'Version')
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63 varargout{1} = VERSION;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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64 return
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Daniele Nicolodi <nicolodi@science.unitn.it>
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65 elseif strcmpi(in, 'Category')
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Daniele Nicolodi <nicolodi@science.unitn.it>
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66 varargout{1} = CATEGORY;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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67 return
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Daniele Nicolodi <nicolodi@science.unitn.it>
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68 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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69 end
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70
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Daniele Nicolodi <nicolodi@science.unitn.it>
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71 %% Capture input variables names
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Daniele Nicolodi <nicolodi@science.unitn.it>
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72 invars = {};
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Daniele Nicolodi <nicolodi@science.unitn.it>
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73 as = [];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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74 ps = [];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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75 for j=1:nargin
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Daniele Nicolodi <nicolodi@science.unitn.it>
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76 invars = [invars cellstr(inputname(j))];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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77 if isa(varargin{j}, 'ao')
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Daniele Nicolodi <nicolodi@science.unitn.it>
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78 as = [as varargin{j}];
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79 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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80 if isa(varargin{j}, 'plist')
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81 ps = [ps varargin{j}];
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82 end
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83 end
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84
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85
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Daniele Nicolodi <nicolodi@science.unitn.it>
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86 %% Check plist
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Daniele Nicolodi <nicolodi@science.unitn.it>
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87 if isempty(ps)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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88 pl = getDefaultPL();
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Daniele Nicolodi <nicolodi@science.unitn.it>
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89 else
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90 pl = combine(ps, getDefaultPL);
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91 end
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92
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93
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Daniele Nicolodi <nicolodi@science.unitn.it>
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94 %% Initialise variables
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Daniele Nicolodi <nicolodi@science.unitn.it>
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95 x=as(1).data.y;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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96 y=as(2).data.y;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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97 p = find(pl, 'ARMANum');
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Daniele Nicolodi <nicolodi@science.unitn.it>
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98 q = find(pl, 'ARMADen');
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Daniele Nicolodi <nicolodi@science.unitn.it>
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99 disp(sprintf('! ARMA orders p = %d, q = %d', p,q))
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Daniele Nicolodi <nicolodi@science.unitn.it>
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100
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Daniele Nicolodi <nicolodi@science.unitn.it>
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101 %% First estimate through Instrument Variables (IV) Method
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Daniele Nicolodi <nicolodi@science.unitn.it>
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102
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Daniele Nicolodi <nicolodi@science.unitn.it>
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103 % Least squares
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Daniele Nicolodi <nicolodi@science.unitn.it>
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104 for i=1:p
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Daniele Nicolodi <nicolodi@science.unitn.it>
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105 obs1(:,i) = [zeros(i,1); x(1:length(x)-i)];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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106 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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107 for i=1:q
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Daniele Nicolodi <nicolodi@science.unitn.it>
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108 obs2(:,i) = [zeros(i,1); -y(1:length(y)-i)];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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109 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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110
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Daniele Nicolodi <nicolodi@science.unitn.it>
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111 % LS estimation
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Daniele Nicolodi <nicolodi@science.unitn.it>
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112 obs = [obs1 obs2];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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113 par0=(obs'*obs)\obs'*y
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Daniele Nicolodi <nicolodi@science.unitn.it>
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114
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Daniele Nicolodi <nicolodi@science.unitn.it>
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115 % filter observations with LS parameters
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Daniele Nicolodi <nicolodi@science.unitn.it>
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116 obs1_f = filter([par0(1:p)],[1 par0(p+1:p+q)],obs1);
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117
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Daniele Nicolodi <nicolodi@science.unitn.it>
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118 % build instruments
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Daniele Nicolodi <nicolodi@science.unitn.it>
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119 inst = [obs1 obs1_f];
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Daniele Nicolodi <nicolodi@science.unitn.it>
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120
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Daniele Nicolodi <nicolodi@science.unitn.it>
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121 % IV estimation
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Daniele Nicolodi <nicolodi@science.unitn.it>
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122 par0=(inst'*obs)\inst'*y
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123
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124
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Daniele Nicolodi <nicolodi@science.unitn.it>
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125 %% Iterative search using the Optimization Toolbox
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126
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127
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Daniele Nicolodi <nicolodi@science.unitn.it>
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128 % Options for the lsqcurvefit function
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Daniele Nicolodi <nicolodi@science.unitn.it>
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129 opt = optimset(...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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130 'MaxIter',find(pl, 'MaxIter'),...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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131 'TolX',find(pl, 'TolXm'),...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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132 'TolFun',find(pl, 'TolFun'),...
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133 'MaxFunEvals',find(pl, 'MaxFunEvals'),...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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134 'Display','off');
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135
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Daniele Nicolodi <nicolodi@science.unitn.it>
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136 % Upper and Lower Bounds for the parameters
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Daniele Nicolodi <nicolodi@science.unitn.it>
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137 ub=find(pl,'UpBound');
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Daniele Nicolodi <nicolodi@science.unitn.it>
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138 lb=find(pl,'LowBound');
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139 if isempty(ub)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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140 ub=ones(p+q,1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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141 pl = append(pl, param('UpBound', ub));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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142 disp('! Parameters Upper Bound set to 1')
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Daniele Nicolodi <nicolodi@science.unitn.it>
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143 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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144 if isempty(lb)
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Daniele Nicolodi <nicolodi@science.unitn.it>
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145 lb=-ones(p+q,1);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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146 pl = append(pl, param('LowBound', lb));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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147 disp('! Parameters Lower Bound set to -1')
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Daniele Nicolodi <nicolodi@science.unitn.it>
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148 end
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Daniele Nicolodi <nicolodi@science.unitn.it>
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149
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Daniele Nicolodi <nicolodi@science.unitn.it>
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150 % Call to the Optimization Toolbox function
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Daniele Nicolodi <nicolodi@science.unitn.it>
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151 [par,res]=lsqcurvefit(@(par,xdata)filter([par(1:p)],[1 par(p+1:p+q)],xdata),...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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152 par0,x,y,lb,ub,opt);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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153
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Daniele Nicolodi <nicolodi@science.unitn.it>
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154
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Daniele Nicolodi <nicolodi@science.unitn.it>
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155 %% Build output ao
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Daniele Nicolodi <nicolodi@science.unitn.it>
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156
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Daniele Nicolodi <nicolodi@science.unitn.it>
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157 % New output history
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Daniele Nicolodi <nicolodi@science.unitn.it>
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158 h = history(ALGONAME, VERSION, pl,[as(1).hist as(2).hist]);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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159 h = set(h,'invars', invars);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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160
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Daniele Nicolodi <nicolodi@science.unitn.it>
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161 % Make output analysis object
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Daniele Nicolodi <nicolodi@science.unitn.it>
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162 b = ao([par; res]);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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163
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Daniele Nicolodi <nicolodi@science.unitn.it>
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164 % Name, mfilename, description for this object
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Daniele Nicolodi <nicolodi@science.unitn.it>
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165 b = setnh(b,...
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166 'name', ['ARMA param. Input: ' sprintf('%s ', char(invars{1})) ' Output: ' char(invars{2})],...
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167 'mfilename', ALGONAME, ...
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168 'description', find(pl,'description'),...
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Daniele Nicolodi <nicolodi@science.unitn.it>
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169 'hist', h);
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Daniele Nicolodi <nicolodi@science.unitn.it>
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170
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171 varargout{1} = b;
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Daniele Nicolodi <nicolodi@science.unitn.it>
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172
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173
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Daniele Nicolodi <nicolodi@science.unitn.it>
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174 %% --- FUNCTIONS ---
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175
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Daniele Nicolodi <nicolodi@science.unitn.it>
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176
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Daniele Nicolodi <nicolodi@science.unitn.it>
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177 % Get default parameters
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178 function plo = getDefaultPL();
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Daniele Nicolodi <nicolodi@science.unitn.it>
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179 disp('* creating default plist...');
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180 plo = plist();
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Daniele Nicolodi <nicolodi@science.unitn.it>
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181 plo = append(plo, param('MaxIter',4e2));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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182 plo = append(plo, param('MaxFunEvals',1e2));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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183 plo = append(plo, param('TolX',1e-6));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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184 plo = append(plo, param('TolFun',1e-6));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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185 plo = append(plo, param('ARMANum',2));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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186 plo = append(plo, param('ARMADen',1));
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Daniele Nicolodi <nicolodi@science.unitn.it>
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187 disp('* done.');