/usr/include/openturns/WhittleFactory.hxx is in libopenturns-dev 1.9-5.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/**
* @brief The class enables to get the coefficients of an ARMA process using its spectral density function
*
* Copyright 2005-2017 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 "openturns/ARMAFactoryImplementation.hxx"
#include "openturns/WelchFactory.hxx"
#include "openturns/WhittleFactoryState.hxx"
#include "openturns/OptimizationAlgorithm.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 accessors - Make easy change of periodogram estimate */
WelchFactory getSpectralModelFactory() const;
void setSpectralModelFactory(const WelchFactory & factory);
/** Build method ==> estimating the coefficients */
ARMA build(const TimeSeries & timeSeries,
Point & informationCriteria) const;
ARMA build(const TimeSeries & timeSeries) const;
ARMA build(const ProcessSample & sample,
Point & 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< Point > & startingPoints);
Collection< Point > 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 */
Scalar computeLogLikelihood(const Point & theta) const;
/** Log likelihood maximization, shared among the different build() methods */
ARMA maximizeLogLikelihood(Point & InformationCriterion) const;
/** Compute the spectral density at the relevant normalized frequencies */
void computeSpectralDensity(const UserDefinedSpectralModel & 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();
/** Welch factory used to estimate the spectral model */
WelchFactory spectralFactory_;
/** Frequency grid to be used in internal */
mutable Point 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 Point spectralDensity_;
/** only used to pass data to be used in computeLogLikeliHood */
mutable Scalar sigma2_;
/** Verbosity control */
Bool verbose_;
/** History flag */
mutable Bool isHistoryEnabled_;
/** History */
mutable PersistentCollection< WhittleFactoryState > history_;
/** Starting points for the estimation process */
PersistentCollection< Point > startingPoints_;
/** Likelihood function accessor */
Function getLogLikelihoodFunction() const;
/** likelihood estimate */
Point computeLogLikelihoodInequalityConstraint( const Point & theta ) const;
/** only used to pass data to be used in computeLogLikelihoodInequalityConstraint */
mutable UnsignedInteger nbInequalityConstraint_;
/** Likelihood constraint accessor */
Function getLogLikelihoodInequalityConstraint() const;
/** Optimization solver accessor */
OptimizationAlgorithm getOptimizationAlgorithm() const;
void setOptimizationAlgorithm(const OptimizationAlgorithm & solver);
// @deprecated
OptimizationAlgorithm getOptimizationSolver() const;
void setOptimizationSolver(const OptimizationAlgorithm & solver);
/** Initialize default Cobyla solver parameter using the ResourceMap */
void initializeCobylaSolverParameter();
protected:
/** Optimization solver */
mutable OptimizationAlgorithm solver_;
}; /* class WhittleFactory */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_WHITTLEFACTORY_HXX */
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