/* nag_tsa_multi_varma_update (g13dkc) Example Program.
*
* Copyright 2021 Numerical Algorithms Group.
*
* Mark 27.3, 2021.
*/
#include <nag.h>
#include <stdio.h>
#include <string.h>
static void fprint(Integer k, Integer nm, Integer lmax, double predz[],
double sefz[], Integer kmax);
int main(void) {
/* Scalars */
double cgetol, rlogl;
Integer exit_status = 0, i, icm, idmax, idmin, kmax, ip, iprint, iq;
Integer ishow, j, k, lmax, npar, lref, m, maxcal, mlast, n, nd;
Integer niter, nm;
/* Arrays */
double *cm = 0, *delta = 0, *g = 0, *par = 0, *predz = 0, *qq = 0;
double *ref = 0, *sefz = 0, *v = 0, *w = 0, *z = 0;
Integer *id = 0, *tr = 0;
char nag_enum_arg[40];
/* Nag types */
Nag_Boolean *parhld = 0;
Nag_Boolean exact;
Nag_IncludeMean mean;
NagError fail;
#define DELTA(I, J) delta[(J - 1) * kmax + I - 1]
#define QQ(I, J) qq[(J - 1) * kmax + I - 1]
#define Z(I, J) z[(J - 1) * kmax + I - 1]
INIT_FAIL(fail);
printf("nag_tsa_multi_varma_update (g13dkc) Example Program Results\n");
/* Skip heading in data file */
scanf("%*[^\n] ");
scanf("%" NAG_IFMT "%" NAG_IFMT "%" NAG_IFMT "%" NAG_IFMT " %39s %" NAG_IFMT
"%*[^\n]",
&k, &n, &ip, &iq, nag_enum_arg, &lmax);
/* nag_enum_name_to_value (x04nac).
* Converts NAG enum member name to value
*/
mean = (Nag_IncludeMean)nag_enum_name_to_value(nag_enum_arg);
npar = (ip + iq) * k * k;
if (mean == Nag_MeanInclude) {
npar += k;
}
if (k > 0 && n >= 1 && npar >= 1 && lmax >= 1) {
kmax = k;
icm = npar;
lref = (lmax - 1) * k * k + 2 * k * lmax + k;
/* Allocate memory */
if (!(tr = NAG_ALLOC(k, Integer)) ||
!(cm = NAG_ALLOC(npar * icm, double)) ||
!(g = NAG_ALLOC(npar, double)) || !(par = NAG_ALLOC(npar, double)) ||
!(predz = NAG_ALLOC(lmax * kmax, double)) ||
!(qq = NAG_ALLOC(k * kmax, double)) ||
!(ref = NAG_ALLOC(lref, double)) ||
!(sefz = NAG_ALLOC(lmax * kmax, double)) ||
!(v = NAG_ALLOC(n * kmax, double)) ||
!(w = NAG_ALLOC(n * kmax, double)) ||
!(z = NAG_ALLOC(n * kmax, double)) || !(id = NAG_ALLOC(k, Integer)) ||
!(parhld = NAG_ALLOC(npar, Nag_Boolean))) {
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
} else {
printf("Invalid parameters\n");
exit_status = -1;
goto END;
}
for (i = 1; i <= k; ++i) {
scanf("%" NAG_IFMT "", &id[i - 1]);
}
scanf("%*[^\n]");
idmax = 0;
idmin = 0;
for (i = 1; i <= k; ++i) {
idmin = MIN(id[i - 1], idmin);
idmax = MAX(id[i - 1], idmax);
}
if (idmin >= 0) {
if (!(delta = NAG_ALLOC(k * idmax, double))) {
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
for (i = 1; i <= k; ++i) {
for (j = 1; j <= n; ++j) {
scanf("%lf", &Z(i, j));
}
}
scanf("%*[^\n]");
for (i = 1; i <= k; ++i) {
scanf("%" NAG_IFMT "", &tr[i - 1]);
}
scanf("%*[^\n]");
if (idmax > 0) {
for (i = 1; i <= k; ++i) {
for (j = 1; j <= id[i - 1]; ++j) {
scanf("%lf", &DELTA(i, j));
}
scanf("%*[^\n] ");
}
}
/* nag_tsa_multi_diff (g13dlc).
* Multivariate time series, differences and/or transforms
*/
nag_tsa_multi_diff(k, n, z, tr, id, delta, w, &nd, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_tsa_multi_diff (g13dlc).\n%s\n", fail.message);
exit_status = 1;
goto END;
}
for (i = 1; i <= npar; ++i) {
par[i - 1] = 0.0;
parhld[i - 1] = Nag_FALSE;
}
for (j = 1; j <= k; ++j) {
for (i = j; i <= k; ++i) {
QQ(i, j) = 0.0;
}
}
parhld[2] = Nag_TRUE;
exact = Nag_TRUE;
/* ** Set iprint > 0 for no intermediate monitoring */
iprint = -1;
cgetol = 1e-4;
maxcal = npar * 40 * (npar + 5);
/* ** Set ishow = 0 for no results from nag_tsa_multi_varma_estimate
* (g13ddc) */
ishow = 0;
/* nag_tsa_multi_varma_estimate (g13ddc).
* Multivariate time series, estimation of VARMA model
*/
nag_tsa_multi_varma_estimate(k, nd, ip, iq, mean, par, npar, qq, kmax, w,
parhld, exact, iprint, cgetol, maxcal, ishow,
0, &niter, &rlogl, v, g, cm, icm, &fail);
if (fail.code != NE_NOERROR) {
printf("\n nag_tsa_multi_varma_estimate (g13ddc) message: %s\n\n",
fail.message);
exit_status = 1;
goto END;
}
if (fail.code == NE_NOERROR || fail.code == NE_G13D_MAXCAL ||
fail.code == NE_G13D_MAX_LOGLIK || fail.code == NE_G13D_BOUND ||
fail.code == NE_G13D_DERIV || fail.code == NE_HESS_NOT_POS_DEF) {
/* nag_tsa_multi_varma_forecast (g13djc).
* Multivariate time series, forecasts and their standard
* errors
*/
nag_tsa_multi_varma_forecast(k, n, z, kmax, tr, id, delta, ip, iq, mean,
par, npar, qq, v, lmax, predz, sefz, ref,
lref, &fail);
if (fail.code != NE_NOERROR) {
printf("\n nag_tsa_multi_varma_forecast (g13djc) message: %s\n\n",
fail.message);
exit_status = 1;
goto END;
}
fprint(k, n, lmax, predz, sefz, kmax);
m = 1;
mlast = 0;
Z(1, 1) = 8.1;
Z(2, 1) = 10.2;
/* nag_tsa_multi_varma_update (g13dkc).
* Multivariate time series, updates forecasts and their
* standard errors
*/
nag_tsa_multi_varma_update(k, lmax, m, &mlast, z, k, ref, lref, v, predz,
sefz, &fail);
if (fail.code != NE_NOERROR) {
printf("\n nag_tsa_multi_varma_update (g13dkc) message: %s\n\n",
fail.message);
exit_status = 1;
goto END;
}
nm = n + mlast;
fprint(k, nm, lmax, predz, sefz, kmax);
m = 1;
/* Leave mlast unchanged from last call */
Z(1, 1) = 8.5;
Z(2, 1) = 10.;
/* nag_tsa_multi_varma_update (g13dkc), see above. */
nag_tsa_multi_varma_update(k, lmax, m, &mlast, z, k, ref, lref, v, predz,
sefz, &fail);
if (fail.code != NE_NOERROR) {
printf("\n nag_tsa_multi_varma_update (g13dkc) message: %s\n\n",
fail.message);
exit_status = 1;
goto END;
}
nm = n + mlast;
fprint(k, nm, lmax, predz, sefz, kmax);
}
}
END:
NAG_FREE(tr);
NAG_FREE(cm);
NAG_FREE(delta);
NAG_FREE(g);
NAG_FREE(par);
NAG_FREE(predz);
NAG_FREE(qq);
NAG_FREE(ref);
NAG_FREE(sefz);
NAG_FREE(v);
NAG_FREE(w);
NAG_FREE(z);
NAG_FREE(id);
NAG_FREE(parhld);
return exit_status;
}
static void fprint(Integer k, Integer nm, Integer lmax, double predz[],
double sefz[], Integer kmax) {
/* Scalars */
Integer i2, i, j, l, l2, loop;
#define SEFZ(I, J) sefz[(J - 1) * kmax + I - 1]
#define PREDZ(I, J) predz[(J - 1) * kmax + I - 1]
printf("\n");
printf("Forecast summary table\n");
printf("----------------------\n\n");
printf("Forecast origin is set at t = %4" NAG_IFMT "\n\n", nm);
loop = lmax / 5;
if (lmax % 5 != 0) {
++loop;
}
for (j = 1; j <= loop; ++j) {
i2 = (j - 1) * 5;
l2 = MIN(i2 + 5, lmax);
printf("%s%13s", "Lead Time", "");
for (i = i2 + 1; i <= l2; ++i) {
printf("%10" NAG_IFMT "%s", i, (i % 5 == 0 || i == l2 ? "\n" : " "));
}
printf("\n");
for (i = 1; i <= k; ++i) {
printf("%-7s%2" NAG_IFMT "%-15s", "Series", i, ": Forecast");
for (l = i2 + 1; l <= l2; ++l) {
printf("%10.2f%s", PREDZ(i, l), (l % 5 == 0 || l == l2 ? "\n" : " "));
}
printf("%9s%-18s", "", ": Standard Error ");
for (l = i2 + 1; l <= l2; ++l) {
printf("%7.2f%s", SEFZ(i, l), (l % 5 == 0 || l == l2 ? "\n" : " "));
}
printf("\n");
}
}
}