Home > m > timetools > statespacefunctions > utp_ltpda_loglike.m

utp_ltpda_loglike

PURPOSE ^

ltpda_loglike

SYNOPSIS ^

function varargout = utp_ltpda_loglike(varargin)

DESCRIPTION ^

ltpda_loglike
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

 DESCRIPTION: utp_ltpda_loglike tests ltpda_loglike

 CALL: utp_ltpda_loglike()

 INPUTS: 

 OUTPUTS: 1/0

 &&VERSION: $Id: utp_ltpda_loglike.m,v 1.1 2008/03/11 16:52:56 adrien Exp $

 HISTORY: 07-03-2008 A Grynagier

 TO DO: 
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:

SOURCE CODE ^

0001 function varargout = utp_ltpda_loglike(varargin)
0002 %ltpda_loglike
0003 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
0004 %
0005 % DESCRIPTION: utp_ltpda_loglike tests ltpda_loglike
0006 %
0007 % CALL: utp_ltpda_loglike()
0008 %
0009 % INPUTS:
0010 %
0011 % OUTPUTS: 1/0
0012 %
0013 % &&VERSION: $Id: utp_ltpda_loglike.m,v 1.1 2008/03/11 16:52:56 adrien Exp $
0014 %
0015 % HISTORY: 07-03-2008 A Grynagier
0016 %
0017 % TO DO:
0018 %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
0019 ALGONAME = mfilename;
0020 VERSION = '$Id: utp_ltpda_loglike.m,v 1.1 2008/03/11 16:52:56 adrien Exp $';
0021 CATEGORY = 'STATESPACE';
0022 display(['starting ' ALGONAME]);
0023 
0024 if not(isempty(varargin))
0025     if isequal( varargin{1}, 'Version')
0026         varargout = VERSION;
0027         return;
0028     elseif isequal(varargin{1}, 'Params')
0029         varargout = plist( );
0030         return;
0031     elseif isequal(varargin{1}, 'Category')
0032         varargout = CATEGORY;
0033         return;
0034     end
0035 end
0036 
0037 output = 1;
0038 try
0039     dout = 4;
0040     t = 10^4;
0041     k = -0.3:0.05:0.3;
0042     %% two time series slightly correlated
0043     Y_exp = randn(t,dout);
0044     Y_err = randn(t,dout);
0045     T = 1:t;
0046     ao_exp = ao(tsdata(T,Y_exp));
0047     criterion = zeros(length(k),1);
0048     for i=1:length(k)
0049         Y_est = Y_exp + k(i)*Y_err;
0050         ao_est = ao(tsdata(T,Y_est'));
0051         pCriterion = ltpda_loglike(ao_exp,ao_est,plist('lambda', 1.04));
0052         criterion(i) = find(pCriterion,'criterion');
0053     end
0054     plot(k,criterion)
0055     options = [plist('lambda', 1.04)  plist('lambda', 1.1)  plist('lambda', 1.4)];
0056     ao_exp = [ao_exp, ao_exp];
0057     pCriterion = ltpda_loglike(ao_exp, ao_est, options);
0058     if not(isequal(size(pCriterion),[2,1,3]))
0059         output =0;
0060     end
0061 catch
0062     output = 0;
0063 end
0064 varargout = {output};
0065 end

Generated on Mon 31-Mar-2008 21:41:00 by m2html © 2003