statespace/_filters/_inversions.pyx

27 # inversion or calculate the determinant.
29 …t sinverse_univariate(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) except *:
35     returns the determinant that was passed in.
46         determinant = dlog(kfilter._forecast_error_cov[0])
68     return determinant
70 …t sfactorize_cholesky(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) except *:
80     returns the determinant that was passed in.
100         # Calculate the determinant (just the squared product of the
102         determinant = 0.0
104             determinant = determinant + dlog(kfilter.forecast_error_fac[i, i])
105         determinant = 2 * determinant
107     return determinant
109 cdef np.float32_t sfactorize_lu(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant)…
119     returns the determinant that was passed in.
143         # Calculate the determinant (product of the diagonals, but with
145         determinant = 1
148                 determinant *= -1*kfilter.forecast_error_fac[i, i]
150                 determinant *= kfilter.forecast_error_fac[i, i]
151         determinant = dlog(determinant)
153     return determinant
155 …2_t sinverse_cholesky(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) except *:
157     inverse_cholesky(self, determinant)
160     returns the determinant that was passed in.
170         # Perform the Cholesky decomposition and get the determinant
171         determinant = sfactorize_cholesky(kfilter, model, determinant)
233     return determinant
235 cdef np.float32_t sinverse_lu(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) e…
237     inverse_cholesky(self, determinant)
240     returns the determinant that was passed in.
249         # Perform the Cholesky decomposition and get the determinant
250         determinant = sfactorize_lu(kfilter, model, determinant)
280     return determinant
282 …t32_t ssolve_cholesky(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) except *:
284     solve_cholesky(self, determinant)
287     returns the determinant that was passed in.
294         # Perform the Cholesky decomposition and get the determinant
295         determinant = sfactorize_cholesky(kfilter, model, determinant)
338     return determinant
340 cdef np.float32_t ssolve_lu(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) exc…
342     inverse_cholesky(self, determinant)
345     returns the determinant that was passed in.
354         # Perform the Cholesky decomposition and get the determinant
355         determinant = sfactorize_lu(kfilter, model, determinant)
387     return determinant
396 # inversion or calculate the determinant.
398 …t dinverse_univariate(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) except *:
404     returns the determinant that was passed in.
415         determinant = dlog(kfilter._forecast_error_cov[0])
437     return determinant
439 …t dfactorize_cholesky(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) except *:
449     returns the determinant that was passed in.
469         # Calculate the determinant (just the squared product of the
471         determinant = 0.0
473             determinant = determinant + dlog(kfilter.forecast_error_fac[i, i])
474         determinant = 2 * determinant
476     return determinant
478 cdef np.float64_t dfactorize_lu(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant)…
488     returns the determinant that was passed in.
512         # Calculate the determinant (product of the diagonals, but with
514         determinant = 1
517                 determinant *= -1*kfilter.forecast_error_fac[i, i]
519                 determinant *= kfilter.forecast_error_fac[i, i]
520         determinant = dlog(determinant)
522     return determinant
524 …4_t dinverse_cholesky(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) except *:
526     inverse_cholesky(self, determinant)
529     returns the determinant that was passed in.
539         # Perform the Cholesky decomposition and get the determinant
540         determinant = dfactorize_cholesky(kfilter, model, determinant)
602     return determinant
604 cdef np.float64_t dinverse_lu(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) e…
606     inverse_cholesky(self, determinant)
609     returns the determinant that was passed in.
618         # Perform the Cholesky decomposition and get the determinant
619         determinant = dfactorize_lu(kfilter, model, determinant)
649     return determinant
651 …t64_t dsolve_cholesky(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) except *:
653     solve_cholesky(self, determinant)
656     returns the determinant that was passed in.
663         # Perform the Cholesky decomposition and get the determinant
664         determinant = dfactorize_cholesky(kfilter, model, determinant)
707     return determinant
709 cdef np.float64_t dsolve_lu(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) exc…
711     inverse_cholesky(self, determinant)
714     returns the determinant that was passed in.
723         # Perform the Cholesky decomposition and get the determinant
724         determinant = dfactorize_lu(kfilter, model, determinant)
756     return determinant
765 # inversion or calculate the determinant.
767 …cinverse_univariate(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except *:
773     returns the determinant that was passed in.
784         determinant = zlog(kfilter._forecast_error_cov[0])
806     return determinant
808 …cfactorize_cholesky(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except *:
818     returns the determinant that was passed in.
838         # Calculate the determinant (just the squared product of the
840         determinant = 0.0
842             determinant = determinant + zlog(kfilter.forecast_error_fac[i, i])
843         determinant = 2 * determinant
845     return determinant
847 …x64_t cfactorize_lu(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except *:
857     returns the determinant that was passed in.
881         # Calculate the determinant (product of the diagonals, but with
883         determinant = 1
886                 determinant *= -1*kfilter.forecast_error_fac[i, i]
888                 determinant *= kfilter.forecast_error_fac[i, i]
889         determinant = zlog(determinant)
891     return determinant
893 …t cinverse_cholesky(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except *:
895     inverse_cholesky(self, determinant)
898     returns the determinant that was passed in.
908         # Perform the Cholesky decomposition and get the determinant
909         determinant = cfactorize_cholesky(kfilter, model, determinant)
971     return determinant
973 …lex64_t cinverse_lu(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except *:
975     inverse_cholesky(self, determinant)
978     returns the determinant that was passed in.
987         # Perform the Cholesky decomposition and get the determinant
988         determinant = cfactorize_lu(kfilter, model, determinant)
1018     return determinant
1020 …4_t csolve_cholesky(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except *:
1022     solve_cholesky(self, determinant)
1025     returns the determinant that was passed in.
1032         # Perform the Cholesky decomposition and get the determinant
1033         determinant = cfactorize_cholesky(kfilter, model, determinant)
1076     return determinant
1078 cdef np.complex64_t csolve_lu(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant)…
1080     inverse_cholesky(self, determinant)
1083     returns the determinant that was passed in.
1092         # Perform the Cholesky decomposition and get the determinant
1093         determinant = cfactorize_lu(kfilter, model, determinant)
1125     return determinant
1134 # inversion or calculate the determinant.
1136 …inverse_univariate(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1142     returns the determinant that was passed in.
1153         determinant = zlog(kfilter._forecast_error_cov[0])
1175     return determinant
1177 …factorize_cholesky(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1187     returns the determinant that was passed in.
1207         # Calculate the determinant (just the squared product of the
1209         determinant = 0.0
1211             determinant = determinant + zlog(kfilter.forecast_error_fac[i, i])
1212         determinant = 2 * determinant
1214     return determinant
1216 …28_t zfactorize_lu(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1226     returns the determinant that was passed in.
1250         # Calculate the determinant (product of the diagonals, but with
1252         determinant = 1
1255                 determinant *= -1*kfilter.forecast_error_fac[i, i]
1257                 determinant *= kfilter.forecast_error_fac[i, i]
1258         determinant = zlog(determinant)
1260     return determinant
1262 … zinverse_cholesky(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1264     inverse_cholesky(self, determinant)
1267     returns the determinant that was passed in.
1277         # Perform the Cholesky decomposition and get the determinant
1278         determinant = zfactorize_cholesky(kfilter, model, determinant)
1340     return determinant
1342 …x128_t zinverse_lu(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1344     inverse_cholesky(self, determinant)
1347     returns the determinant that was passed in.
1356         # Perform the Cholesky decomposition and get the determinant
1357         determinant = zfactorize_lu(kfilter, model, determinant)
1387     return determinant
1389 …_t zsolve_cholesky(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1391     solve_cholesky(self, determinant)
1394     returns the determinant that was passed in.
1401         # Perform the Cholesky decomposition and get the determinant
1402         determinant = zfactorize_cholesky(kfilter, model, determinant)
1445     return determinant
1447 …lex128_t zsolve_lu(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except *:
1449     inverse_cholesky(self, determinant)
1452     returns the determinant that was passed in.
1461         # Perform the Cholesky decomposition and get the determinant
1462         determinant = zfactorize_lu(kfilter, model, determinant)
1494     return determinant