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/dports/science/dynare/dynare-4.6.4/contrib/ms-sbvar/switch_dw/state_space/
H A Ddw_state_space_historical_decomposition.c54 int t, s, i, j, nc=statespace->nepsilon+statespace->nu+2; in dw_state_space_historical_decomposition()
65 statespace->zeta_modulus/statespace->nbasestates,2); in dw_state_space_historical_decomposition()
83 …IntegrateStatesSingleV(I2[t],model->SP[t+1],statespace->SEz[t],statespace->nbasestates,statespace-… in dw_state_space_historical_decomposition()
86 I2=statespace->SEz; in dw_state_space_historical_decomposition()
94 if (!var) var=CreateMatrix(statespace->nobs-t0+1+h,nc*statespace->ny); in dw_state_space_historical_decomposition()
104 u=(statespace->nu > 0) ? CreateVector(statespace->nu) : (TVector)NULL; in dw_state_space_historical_decomposition()
244 statespace->zeta_modulus/statespace->nbasestates,2); in dw_state_space_historical_decomposition_states()
263 …IntegrateStatesSingleV(I2[t],model->SP[t+1],statespace->SEz[t],statespace->nbasestates,statespace-… in dw_state_space_historical_decomposition_states()
271 if (!var) var=CreateMatrix(statespace->nobs-t0+1+h,nc*statespace->nz); in dw_state_space_historical_decomposition_states()
372 statespace->zeta_modulus/statespace->nbasestates,2); in SmoothedShocks()
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H A Ddw_MSStateSpace.c502 AddVV(statespace->Ez1[t][k],statespace->Ez1[t][k],statespace->b[s]); in Filter()
512 ProductMV(statespace->Ey1[t][k],statespace->H[s],statespace->Ez1[t][k]); in Filter()
513 AddVV(statespace->Ey1[t][k],statespace->Ey1[t][k],statespace->a[s]); in Filter()
517 AddMM(statespace->Eyy1[t][k],statespace->Eyy1[t][k],statespace->R[s]); in Filter()
558 AddVV(statespace->Ez[t][k],statespace->Ez[t][k],statespace->Ez1[t][k]); in Filter()
573 …TMatrix K1=CreateMatrix(statespace->nz,statespace->ny), K2=CreateMatrix(statespace->nz,statespace-… in Filter()
692 …n_zeta=statespace->zeta_modulus, n_s=statespace->nbasestates, nz=statespace->nz, ny=statespace->ny; in ConditionalFilter()
1206 …IntegrateStatesSingleV(statespace->IEz[statespace->nobs],model->V[statespace->nobs],statespace->Ez… in Smooth_MSStateSpace()
1209 …SmoothMean_MSStateSpace(1,statespace->nobs,statespace->SEz,statespace->ISEz,statespace->Ez1,states… in Smooth_MSStateSpace()
1210 statespace->IEz,statespace->IEzz,model->SP,statespace); in Smooth_MSStateSpace()
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H A Ddw_state_space_forecast.c122 IEzz[k][i]=CreateMatrix(statespace->nz,statespace->nz); in dw_state_space_mean_conditional_forecast()
128 Ezz1[k][i]=CreateMatrix(statespace->nz,statespace->nz); in dw_state_space_mean_conditional_forecast()
130 Ezz[k][i]=CreateMatrix(statespace->nz,statespace->nz); in dw_state_space_mean_conditional_forecast()
158 if (statespace->zeta_modulus > statespace->nbasestates) in dw_state_space_mean_conditional_forecast()
161 …IntegrateStatesSingleV(z,SPzeta,ISEz[k],statespace->nbasestates,statespace->zeta_modulus/statespac… in dw_state_space_mean_conditional_forecast()
162 …IntegrateStatesSingle(SPs,SPzeta,statespace->nbasestates,statespace->zeta_modulus/statespace->nbas… in dw_state_space_mean_conditional_forecast()
266 z_scale=CreateMatrix(statespace->nz,statespace->nz); in dw_state_space_forecast_percentile()
340 for (t=statespace->nobs-nobs+1; t <= statespace->nobs; t++) in dw_state_space_forecast_percentile()
423 z_scale=CreateMatrix(statespace->nz,statespace->nz); in dw_state_space_forecast_percentile_regime()
485 for (t=statespace->nobs-nobs+1; t <= statespace->nobs; t++) in dw_state_space_forecast_percentile_regime()
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H A Ddw_state_space_counterfactual.c57 if (!data && !(data=CreateMatrix(statespace->nobs+1-tau,statespace->ny+1))) return (TMatrix)NULL; in dw_state_space_counterfactual()
67 z1=CreateVector(statespace->nz); in dw_state_space_counterfactual()
68 z2=CreateVector(statespace->nz); in dw_state_space_counterfactual()
69 y=CreateVector(statespace->ny); in dw_state_space_counterfactual()
70 e=CreateVector(statespace->nepsilon); in dw_state_space_counterfactual()
73 ProductMV(y,statespace->H[0],z1); in dw_state_space_counterfactual()
74 for (s=statespace->nbasestates-1; s >= 0; s--) in dw_state_space_counterfactual()
77 for (i=statespace->ny-1; i >= 0; i--) in dw_state_space_counterfactual()
81 ProductMV(z2,statespace->F[0],z1); in dw_state_space_counterfactual()
89 ProductMV(y,statespace->H[0],z2); in dw_state_space_counterfactual()
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H A Ddw_state_space_variance_decomposition.c91 nvars=statespace->nz; in state_space_variance_decomposition_mean()
96 nvars=statespace->ny; in state_space_variance_decomposition_mean()
97 nshocks=statespace->nepsilon + statespace->nu; in state_space_variance_decomposition_mean()
200 nvars=statespace->nz; in state_space_variance_decomposition_mean_regime()
205 nvars=statespace->ny; in state_space_variance_decomposition_mean_regime()
206 nshocks=statespace->nepsilon + statespace->nu; in state_space_variance_decomposition_mean_regime()
291 nvars=statespace->nz; in state_space_variance_decomposition_percentiles()
296 nvars=statespace->ny; in state_space_variance_decomposition_percentiles()
297 nshocks=statespace->nepsilon + statespace->nu; in state_space_variance_decomposition_percentiles()
402 nvars=statespace->nz; in state_space_variance_decomposition_percentiles_regime()
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H A Ddw_state_space_impulse_response_special.c69 if (statespace->nepsilon + statespace->nu == 0) return 0; in dw_state_space_impulse_response_special()
76 y=CreateVector(statespace->ny); in dw_state_space_impulse_response_special()
80 if (statespace->nepsilon > 0) in dw_state_space_impulse_response_special()
88 ProductMV(y,statespace->H[S[0]],z[j]); in dw_state_space_impulse_response_special()
102 if (statespace->nu > 0) in dw_state_space_impulse_response_special()
105 for (j=statespace->nu-1; j >= 0; j--) in dw_state_space_impulse_response_special()
108 ProductMV(y,statespace->Phiy[S[0]],e); in dw_state_space_impulse_response_special()
122 if (statespace->nepsilon > 0) in dw_state_space_impulse_response_special()
128 ProductMV(y,statespace->H[S[k]],z[j]); in dw_state_space_impulse_response_special()
186 IR=CreateMatrix(h+1,size_special*(statespace->nepsilon+statespace->nu)); in dw_state_space_impulse_response_special_percentile_regime()
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H A Ddw_state_space_impulse_response.c208 T_MSStateSpace *statespace; in dw_state_space_impulse_response_states_percentile_regime() local
217 statespace=(T_MSStateSpace*)(model->theta); in dw_state_space_impulse_response_states_percentile_regime()
226 IR=CreateMatrix(h+1,statespace->nz*statespace->nepsilon); in dw_state_space_impulse_response_states_percentile_regime()
313 T_MSStateSpace *statespace; in dw_state_space_impulse_response_observables_percentile_regime() local
322 statespace=(T_MSStateSpace*)(model->theta); in dw_state_space_impulse_response_observables_percentile_regime()
331 IR=CreateMatrix(h+1,statespace->ny*(statespace->nepsilon+statespace->nu)); in dw_state_space_impulse_response_observables_percentile_regime()
418 T_MSStateSpace *statespace; in dw_state_space_impulse_response_states_percentile_ergodic() local
427 statespace=(T_MSStateSpace*)(model->theta); in dw_state_space_impulse_response_states_percentile_ergodic()
435 IR=CreateMatrix(h+1,statespace->nz*statespace->nepsilon); in dw_state_space_impulse_response_states_percentile_ergodic()
526 T_MSStateSpace *statespace; in dw_state_space_impulse_response_observables_percentile_ergodic() local
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H A Ddw_state_space_command_line_output.c412 T_MSStateSpace *statespace; in dw_state_space_forecast_command_line() local
438 for (t=statespace->nobs-plotdata+1; t <= statespace->nobs; t++) in dw_state_space_forecast_command_line()
464 for (t=statespace->nobs-plotdata+1; t <= statespace->nobs; t++) in dw_state_space_forecast_command_line()
605 T_MSStateSpace *statespace; in dw_state_space_historical_decomposition_command_line() local
634 for (j=0; j < statespace->nepsilon+statespace->nu+2; j++, k++) in dw_state_space_historical_decomposition_command_line()
715 T_MSStateSpace *statespace; in dw_state_space_impulse_response_command_line() local
941 …TES, nvars=observables ? statespace->ny : statespace->nz, nshocks=observables ? statespace->nepsil… in PrintVarianceDecomposition()
1105 T_MSStateSpace *statespace; in dw_state_space_smoothed_shocks_command_line() local
1146 T_MSStateSpace *statespace; in dw_state_space_smoothed_states_command_line() local
1195 T_MSStateSpace *statespace; in dw_state_space_probabilities_command_line() local
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H A Ddw_MSStateSpace.h107 void Free_MSStateSpace(T_MSStateSpace *statespace);
117 void Invalidate_MSStateSpace(T_MSStateSpace *statespace);
119 void Invalidate_MSStateSpace(T_MSStateSpace *statespace);
132 TVector **Ez, TMatrix **Ezz, T_MSStateSpace *statespace);
137 TVector **IEz, TMatrix **IEzz, TVector *SPxi, T_MSStateSpace *statespace);
/dports/math/py-statsmodels/statsmodels-0.13.1/
H A D.gitignore76 statsmodels/tsa/statespace/_statespace.pyx
80 statsmodels/tsa/statespace/_initialization.pyx
81 statsmodels/tsa/statespace/_representation.pyx
82 statsmodels/tsa/statespace/_kalman_filter.pyx
83 statsmodels/tsa/statespace/_kalman_smoother.pyx
84 statsmodels/tsa/statespace/_simulation_smoother.pyx
86 statsmodels/tsa/statespace/_tools.pyx
87 statsmodels/tsa/statespace/_filters/_conventional.pyx
88 statsmodels/tsa/statespace/_filters/_inversions.pyx
89 statsmodels/tsa/statespace/_filters/_univariate.pyx
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/arima/estimators/tests/
H A Dtest_statespace.py6 from statsmodels.tsa.statespace import sarimax
8 from statsmodels.tsa.arima.estimators.statespace import statespace
16 p, res = statespace(endog, exog=exog, order=(1, 0, 0),
25 p, res = statespace(endog, exog=exog, order=(1, 0, 0),
34 p, res = statespace(endog, exog=exog, order=(1, 0, 0),
48 p, _ = statespace(endog, order=(1, 0, 0), start_params=[0, 0, 1.])
49 p, _ = statespace(endog, order=(1, 0, 0), start_params=[0, 1., 1.],
51 p, _ = statespace(endog, order=(0, 0, 1), start_params=[0, 1., 1.],
55 assert_raises(ValueError, statespace, endog, order=(1, 0, 0),
57 assert_raises(ValueError, statespace, endog, order=(0, 0, 1),
/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/
H A Dapi.py81 from .statespace import api as statespace unknown
82 from .statespace.dynamic_factor import DynamicFactor
83 from .statespace.dynamic_factor_mq import DynamicFactorMQ
84 from .statespace.sarimax import SARIMAX
85 from .statespace.structural import UnobservedComponents
86 from .statespace.varmax import VARMAX
/dports/math/py-statsmodels/statsmodels-0.13.1/examples/python/
H A Dstatespace_sarimax_stata.py106 mod = sm.tsa.statespace.SARIMAX(data['wpi'], trend='c', order=(1, 1, 1))
253 mod = sm.tsa.statespace.SARIMAX(data['ln_wpi'],
362 mod = sm.tsa.statespace.SARIMAX(data['lnair'],
440 mod = sm.tsa.statespace.SARIMAX(endog, exog, order=(1, 0, 1))
466 mod = sm.tsa.statespace.SARIMAX(endog.loc[:'1978-01-01'],
475 mod = sm.tsa.statespace.SARIMAX(endog, exog=exog, order=(1, 0, 1))
H A Dstatespace_sarimax_internet.py82 mod = sm.tsa.statespace.SARIMAX(dta_full,
92 mod = sm.tsa.statespace.SARIMAX(dta_miss,
154 mod = sm.tsa.statespace.SARIMAX(dta_miss, order=(1, 0, 1))
/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/statespace/_smoothers/
H A D_univariate.pxd12 from statsmodels.tsa.statespace._representation cimport (
15 from statsmodels.tsa.statespace._kalman_filter cimport (
18 from statsmodels.tsa.statespace._kalman_smoother cimport (
H A D_classical.pxd12 from statsmodels.tsa.statespace._representation cimport (
15 from statsmodels.tsa.statespace._kalman_filter cimport (
18 from statsmodels.tsa.statespace._kalman_smoother cimport (
H A D_alternative.pxd12 from statsmodels.tsa.statespace._representation cimport (
15 from statsmodels.tsa.statespace._kalman_filter cimport (
18 from statsmodels.tsa.statespace._kalman_smoother cimport (
H A D_univariate_diffuse.pxd12 from statsmodels.tsa.statespace._representation cimport (
15 from statsmodels.tsa.statespace._kalman_filter cimport (
18 from statsmodels.tsa.statespace._kalman_smoother cimport (
H A D_conventional.pxd12 from statsmodels.tsa.statespace._representation cimport (
15 from statsmodels.tsa.statespace._kalman_filter cimport (
18 from statsmodels.tsa.statespace._kalman_smoother cimport (
/dports/math/py-statsmodels/statsmodels-0.13.1/docs/source/
H A Dtsa.rst35 - statespace : Comprehensive statespace model specification and estimation. See
36 the :ref:`statespace documentation <statespace>`.
135 number of inherited features from the :ref:`state space <statespace>` models
172 smoothing models, it includes all features of :ref:`state space <statespace>`
181 statespace.exponential_smoothing.ExponentialSmoothing
182 statespace.exponential_smoothing.ExponentialSmoothingResults
241 :class:`~statsmodels.tsa.statespace.sarimax.SARIMAX` class (using full MLE via
263 See the :ref:`statespace documentation <statespace>`.
H A Dapi.rst155 ~statsmodels.tsa.statespace.sarimax.SARIMAX
170 ~statsmodels.tsa.statespace.exponential_smoothing.ExponentialSmoothing
179 ~statsmodels.tsa.statespace.dynamic_factor.DynamicFactor
180 ~statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQ
182 ~statsmodels.tsa.statespace.varmax.VARMAX
185 ~statsmodels.tsa.statespace.structural.UnobservedComponents
/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/statespace/tests/
H A Dtest_pickle.py22 from statsmodels.tsa.statespace import sarimax
23 from statsmodels.tsa.statespace.kalman_filter import KalmanFilter
24 from statsmodels.tsa.statespace.representation import Representation
25 from statsmodels.tsa.statespace.structural import UnobservedComponents
/dports/math/py-statsmodels/statsmodels-0.13.1/docs/source/release/
H A Dversion0.12.rst173 - Fix `true` type on statespace docs page (:pr:`6616`)
222 - Dataframe/series concatenation in statespace results append (:pr:`6768`)
443 ``tsa.statespace``
457 - Dataframe/series concatenation in statespace results append (:pr:`6768`)
619 - :pr:`6616`: DOC: Fix `true` type on statespace docs page
822 * :class:`statsmodels.tsa.statespace.dynamic_factor_mq.DynamicFactorMQ`
824 * :class:`statsmodels.tsa.statespace.news.NewsResults`
848 * :meth:`statsmodels.tsa.statespace.kalman_smoother.SmootherResults.news`
851 * :meth:`statsmodels.tsa.statespace.mlemodel.MLEResults.news`
852 * :meth:`statsmodels.tsa.statespace.representation.Representation.diff_endog`
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/arima/estimators/
H A Dgls.py13 from statsmodels.tsa.statespace.tools import diff
20 from statsmodels.tsa.arima.estimators.statespace import statespace
229 p_arma, res_arma = statespace(
H A Dstatespace.py10 from statsmodels.tsa.statespace.sarimax import SARIMAX
16 def statespace(endog, exog=None, order=(0, 0, 0), function

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