/usr/include/openturns/WhittleFactory.hxx is in libopenturns-dev 1.7-3.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 | // -*- C++ -*-
/**
* @brief The class enables to get the coefficients of an ARMA process using its spectral density function
*
* Copyright 2005-2015 Airbus-EDF-IMACS-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/>.
*
*/
#ifndef OPENTURNS_WHITTLEFACTORY_HXX
#define OPENTURNS_WHITTLEFACTORY_HXX
#include "ARMAFactoryImplementation.hxx"
#include "SpectralModelFactory.hxx"
#include "WhittleFactoryState.hxx"
#include "OptimizationSolver.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class WhittleFactory
*
* The class implements the Whittle likelihood for estimating ARMA coefficients
*/
class OT_API WhittleFactory
: public ARMAFactoryImplementation
{
CLASSNAME;
public:
/** Default constructor */
WhittleFactory();
/** Default constructor */
WhittleFactory(const UnsignedInteger p,
const UnsignedInteger q,
const Bool invertible = true);
/** Default constructor */
WhittleFactory(const Indices & p,
const Indices & q,
const Bool invertible = true);
/** Virtual constructor */
virtual 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;
/** 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 UnsignedInteger 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_;
/** Likelihood function accessor */
NumericalMathFunction getLogLikelihoodFunction() const;
/** likelihood estimate */
NumericalPoint computeLogLikelihoodInequalityConstraint( const NumericalPoint & theta ) const;
/** only used to pass data to be used in computeLogLikelihoodInequalityConstraint */
mutable UnsignedInteger nbInequalityConstraint_;
/** Likelihood constraint accessor */
NumericalMathFunction getLogLikelihoodInequalityConstraint() const;
/** Optimization solver accessor */
OptimizationSolver getOptimizationSolver() const;
void setOptimizationSolver(const OptimizationSolver & solver);
/** Initialize default Cobyla solver parameter using the ResourceMap */
void initializeCobylaSolverParameter();
protected:
/** Optimization solver */
mutable OptimizationSolver solver_;
}; /* class WhittleFactory */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_WHITTLEFACTORY_HXX */
|