Autoregressive model estimation
Edit Page
Report
Scan day: 03 March 2014 UTC
-181
Virus safety - good
Description: Originally by H. Akaike, modified by T. Morikawa, M. Sigemori, and T. Wada.
C PROGRAM AKAIKE_IRC C This program was originally described by Prof. H. Akaike of C the Institute of Statistical Mathematics, Tokyo, Japan, and C was slightly modified by T. Morikawa, M. SIGEMORI and T. Wada. C ------------------------------------------------------------------ C 90.7.16 MODIFIED BY SIGEMORI, WADA C 96.4.5 MODIFIED BY MORIKAWA C ------------------------------------------------------------------ PARAMETER (NVAR=3, MAXL=5) C WE ADVISE YOU NOT TO CHANGE THE PARAMETERS WHICH FOLLOW. PARAMETER (LAGH=15,MAXV=5,ML=50,NOP=1000,IPLS=1) C NVAR: NUMBER OF VARIABLES C MAXL: UPPER LIMIT OF MODEL ORDER C LAGH: MAXIMUM LAG FOR COMPUTING AUTO-CORRELATION C MAXV: LIMITATION OF NUMBER OF VARIABLES C ML: LENGTH OF IMPULSE RESPONSE CURVES C NOP: MAXIMUM NUMBER OF POINTS ADDED WITH 1 C IPLS: SIZE OF IMPULSE (0: SIZE=2SD OF INNOVATION; 1:SIZE=1) IMPLICIT REAL*8(A-H,O-Z) CHARACTER*4 TITLE(MAXV) CHARACTER*5 UNIT REAL*4 XX1 REAL*4 X11 REAL*4 WS,X,Y DIMENSION R1(LAGH,MAXV,MAXV),OSD(MAXV,MAXV),SM(MAXV) DIMENSION AO(LAGH,MAXV,MAXV) DIMENSION X11(NOP,MAXV) DIMENSION A1(LAGH,MAXV,MAXV),B1(LAGH,MAXV,MAXV) DIMENSION A(LAGH),C(LAGH) DIMENSION AR(MAXV,MAXV,LAGH) DIMENSION C0(MAXV) DIMENSION SD(MAXV,MAXV),SE(MAXV,MAXV),SF(MAXV,MAXV) DIMENSION XSD(MAXV,MAXV),XSF(MAXV,MAXV) DIMENSION D(MAXV,MAXV),E(MAXV,MAXV),Z1(MAXV,MAXV) DIMENSION SDL(MAXV,MAXV) DIMENSION Z2(MAXV,MAXV) DIMENSION R(MAXV,MAXV),Z(MAXV,MAXV) DIMENSION SD1(MAXV,MAXV) DIMENSION IDS(MAXV) DIMENSION DE(MAXV,MAXV,100),SM1(MAXV,MAXV,100) DIMENSION WS(NOP) DIMENSION X(NOP),Y(NOP) DIMENSION PD(MAXV,MAXV,100),PI(MAXV,MAXV,100) COMMON /COM11/XX1(1000,5) L=MAXL IL=0 C *********INITIAL CONDITION INPUT AND OUTPUT********** CALL ARPREPD2(N,UNIT,NVAR,TITLE,MAXV) K=NVAR+IL DO 303 II=1,K DO 202 JJ=1,N X11(JJ,II)=XX1(JJ,II) 202 CONTINUE 303 CONTINUE IP=NVAR+IL LH=(N-NVAR-1)/(IP+IP) IF(L.GT.LH) L=LH L1=L+1 IP0=K 909 CALL NSMLCO(R1,N,LAGH,K,L,SM,TITLE,MAXV,C0,X,Y,NOP) C FPEC OR MFPE COMPUTATION CALL NFPEC(R1,OSD,AO,L,NVAR,IL,N,IFPEC,LAGH,MAXV,A1,B1, 1 SD,SE,SF,XSD,XSF,D,E,Z1,SDL,Z2,R,Z,S
Size: 2048 chars
Contact Information
Email: —
Phone&Fax: —
Address: —
Extended: —
WEBSITE Info
| Page title: | |
| Keywords: | |
| Description: | |
| IP-address: | 202.229.236.82 |