/dports/science/dynare/dynare-4.6.4/contrib/ms-sbvar/switch_dw/state_space/ |
H A D | dw_state_space_historical_decomposition.c | 54 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() [all …]
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H A D | dw_MSStateSpace.c | 502 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() [all …]
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H A D | dw_state_space_forecast.c | 122 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() [all …]
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H A D | dw_state_space_counterfactual.c | 57 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() [all …]
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H A D | dw_state_space_variance_decomposition.c | 91 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() [all …]
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H A D | dw_state_space_impulse_response_special.c | 69 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() [all …]
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H A D | dw_state_space_impulse_response.c | 208 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 [all …]
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H A D | dw_state_space_command_line_output.c | 412 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 [all …]
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H A D | dw_MSStateSpace.h | 107 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);
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/dports/math/py-statsmodels/statsmodels-0.13.1/ |
H A D | .gitignore | 76 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 [all …]
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/arima/estimators/tests/ |
H A D | test_statespace.py | 6 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),
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/ |
H A D | api.py | 81 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
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/dports/math/py-statsmodels/statsmodels-0.13.1/examples/python/ |
H A D | statespace_sarimax_stata.py | 106 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))
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H A D | statespace_sarimax_internet.py | 82 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))
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/statespace/_smoothers/ |
H A D | _univariate.pxd | 12 from statsmodels.tsa.statespace._representation cimport ( 15 from statsmodels.tsa.statespace._kalman_filter cimport ( 18 from statsmodels.tsa.statespace._kalman_smoother cimport (
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H A D | _classical.pxd | 12 from statsmodels.tsa.statespace._representation cimport ( 15 from statsmodels.tsa.statespace._kalman_filter cimport ( 18 from statsmodels.tsa.statespace._kalman_smoother cimport (
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H A D | _alternative.pxd | 12 from statsmodels.tsa.statespace._representation cimport ( 15 from statsmodels.tsa.statespace._kalman_filter cimport ( 18 from statsmodels.tsa.statespace._kalman_smoother cimport (
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H A D | _univariate_diffuse.pxd | 12 from statsmodels.tsa.statespace._representation cimport ( 15 from statsmodels.tsa.statespace._kalman_filter cimport ( 18 from statsmodels.tsa.statespace._kalman_smoother cimport (
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H A D | _conventional.pxd | 12 from statsmodels.tsa.statespace._representation cimport ( 15 from statsmodels.tsa.statespace._kalman_filter cimport ( 18 from statsmodels.tsa.statespace._kalman_smoother cimport (
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/dports/math/py-statsmodels/statsmodels-0.13.1/docs/source/ |
H A D | tsa.rst | 35 - 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>`.
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H A D | api.rst | 155 ~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
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/statespace/tests/ |
H A D | test_pickle.py | 22 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
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/dports/math/py-statsmodels/statsmodels-0.13.1/docs/source/release/ |
H A D | version0.12.rst | 173 - 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` [all …]
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/dports/math/py-statsmodels/statsmodels-0.13.1/statsmodels/tsa/arima/estimators/ |
H A D | gls.py | 13 from statsmodels.tsa.statespace.tools import diff 20 from statsmodels.tsa.arima.estimators.statespace import statespace 229 p_arma, res_arma = statespace(
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H A D | statespace.py | 10 from statsmodels.tsa.statespace.sarimax import SARIMAX 16 def statespace(endog, exog=None, order=(0, 0, 0), function
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