! G13AEF Example Program Text
! Mark 27.2 Release. NAG Copyright 2021.
Module g13aefe_mod
! G13AEF Example Program Module:
! Parameters and User-defined Routines
! .. Use Statements ..
Use nag_library, Only: nag_wp
! .. Implicit None Statement ..
Implicit None
! .. Accessibility Statements ..
Private
Public :: piv
! .. Parameters ..
Integer, Parameter, Public :: nin = 5, nout = 6
Contains
Subroutine piv(mr,par,npar,c,kfc,icount,s,g,h,ldh,igh,itc,zsp)
! .. Parameters ..
Integer, Parameter :: param_inds(4) = (/1,3,4,6/)
! .. Scalar Arguments ..
Real (Kind=nag_wp), Intent (In) :: c, s
Integer, Intent (In) :: igh, itc, kfc, ldh, npar
! .. Array Arguments ..
Real (Kind=nag_wp), Intent (In) :: g(igh), h(ldh,igh), par(npar), &
zsp(4)
Integer, Intent (In) :: icount(6), mr(7)
! .. Local Scalars ..
Integer :: i, param, start_ind
! .. Executable Statements ..
Write (nout,*)
If (itc==0) Then
Write (nout,*) 'Begin monitoring output'
Write (nout,99999) 'Degrees of freedom: ', icount(5)
End If
Write (nout,99999) 'Iteration: ', itc
param_loop: Do i = 1, 4
param = mr(param_inds(i))
If (param<=0) Then
Cycle param_loop
End If
Select Case (param_inds(i))
Case (1)
Write (nout,*) 'Autoregressive parameters:'
start_ind = 1
Case (3)
Write (nout,*) 'Moving-average parameters:'
Case (4)
Write (nout,*) 'Seasonal autoregressive parameters:'
Case (6)
Write (nout,*) 'Seasonal moving-average parameters:'
End Select
Write (nout,99998) par(start_ind:start_ind+param-1)
start_ind = start_ind + param
End Do param_loop
If (kfc==1) Then
Write (nout,*) 'Constant term:'
Write (nout,99998) c
End If
Write (nout,*) 'Residual sum of squares:'
Write (nout,99998) s
Write (nout,*) &
'Parameters (alpha, beta, delta, gamma) controlling the search ', &
'procedure:'
Write (nout,99998) zsp
Return
99999 Format (1X,A,I3)
99998 Format (1X,E13.4)
End Subroutine piv
End Module g13aefe_mod
Program g13aefe
! G13AEF Example Main Program
! .. Use Statements ..
Use g13aefe_mod, Only: nin, nout, piv
Use nag_library, Only: g13aef, nag_wp, x04caf
! .. Implicit None Statement ..
Implicit None
! .. Local Scalars ..
Real (Kind=nag_wp) :: c, s
Integer :: iex, ifail, igh, ist, itc, iwa, kfc, &
kpiv, kzsp, ldh, ndf, nex, ngh, nit, &
npar, nst, nx
! .. Local Arrays ..
Real (Kind=nag_wp), Allocatable :: al(:), ex(:), exr(:), g(:), h(:,:), &
hc(:,:), par(:), sd(:), st(:), &
wa(:), x(:)
Real (Kind=nag_wp) :: zsp(4)
Integer :: icount(6), isf(4), mr(7)
! .. Intrinsic Procedures ..
Intrinsic :: max
! .. Executable Statements ..
Write (nout,*) 'G13AEF Example Program Results'
Write (nout,*)
! Skip heading in data file
Read (nin,*)
! Read in the problem size etc
Read (nin,*) nx, kfc, c
! Read in the orders
Read (nin,*) mr(1:7)
! Calculate NPAR and various array lengths
npar = mr(1) + mr(3) + mr(4) + mr(6)
iex = mr(3) + (mr(6)*mr(7)) + nx
igh = mr(3) + (mr(6)*mr(7)) + npar + kfc
ist = (mr(4)*mr(7)) + mr(2) + (mr(5)*mr(7)) + mr(3) + &
max(mr(1),(mr(6)*mr(7)))
iwa = ((nx+1+mr(1)+(mr(4)*mr(7))+mr(3)+(mr(6)*mr(7)))*8) + (9*npar)
ldh = igh + 1
Allocate (x(nx),par(npar),ex(iex),exr(iex),al(iex),g(igh),sd(igh), &
h(ldh,igh),st(ist),wa(iwa),hc(ldh,igh))
! Read in data
Read (nin,*) x(1:nx)
! Read in initial values
Read (nin,*) par(1:npar)
! Read in control parameters
Read (nin,*) kpiv, nit, kzsp
If (kzsp==1) Then
Read (nin,*) zsp(1:4)
End If
! Fit ARIMA model
ifail = -1
Call g13aef(mr,par,npar,c,kfc,x,nx,icount,ex,exr,al,iex,s,g,igh,sd,h, &
ldh,st,ist,nst,piv,kpiv,nit,itc,zsp,kzsp,isf,wa,iwa,hc,ifail)
If (ifail/=0) Then
If (ifail<7) Then
Go To 100
End If
End If
! Display results
nex = icount(4)
ndf = icount(5)
ngh = icount(6)
If (ifail==0) Then
Write (nout,99998) 'Convergence was achieved after', itc, ' cycles'
Else
Write (nout,99998) 'Iterative process ran for', itc, ' cycles'
End If
Write (nout,*)
Write (nout,*) &
'Final values of the PAR parameters and the constant are as follows'
Write (nout,99997) par(1:npar), c
Write (nout,*)
Write (nout,99996) 'Residual sum of squares is', s, ' with', ndf, &
' degrees of freedom'
Write (nout,*)
Write (nout,*) 'The final values of ZSP were'
Write (nout,99995) zsp(1:4)
Write (nout,*)
Write (nout,99999) 'The number of parameters estimated was', ngh
Write (nout,*) '( backward forecasts, PAR and C, in that order )'
Write (nout,*)
Write (nout,*) 'The corresponding G array holds'
Write (nout,99994) g(1:ngh)
If ((ifail==0 .Or. ifail==9) .And. itc>0) Then
Write (nout,*)
Write (nout,*) 'The corresponding SD array holds'
Write (nout,99994) sd(1:ngh)
Write (nout,*)
Flush (nout)
ifail = 0
Call x04caf('General',' ',ngh,ngh,h,ldh,'Corresponding H matrix', &
ifail)
Write (nout,*) &
'Holds second derivatives in the upper half (including the main ', &
'diagonal)'
Write (nout,*) 'and correlation coefficients in the lower triangle'
End If
Write (nout,*)
Write (nout,99993) 'EX, EXR, and AL each hold', nex, &
' values made up of', icount(1), ' back forecast(s),'
Write (nout,99992) icount(2), ' differenced values, and'
Write (nout,99992) icount(3), ' element(s) of reconstituted information'
Write (nout,*)
Write (nout,*) ' EX'
Write (nout,99991) ex(1:nex)
If (ifail==0 .Or. ifail==9) Then
Write (nout,*)
Write (nout,*) ' EXR'
Write (nout,99991) exr(1:nex)
End If
If (ifail==0) Then
Write (nout,*)
Write (nout,*) ' AL'
Write (nout,99991) al(1:nex)
End If
If (ifail==0 .Or. ifail==9) Then
Write (nout,*)
Write (nout,99998) 'The state set consists of', nst, ' values'
Write (nout,99991) st(1:nst)
End If
100 Continue
99999 Format (1X,A,I5)
99998 Format (1X,A,I3,A)
99997 Format (1X,4F10.4)
99996 Format (1X,A,F10.3,A,I4,A)
99995 Format (1X,4E15.4)
99994 Format (1X,10F9.4)
99993 Format (1X,A,I5,A,I5,A)
99992 Format (1X,I5,A)
99991 Format (1X,5F11.4)
End Program g13aefe