/* nag_stat_moments_ratio_quad_forms (g01nbc) Example Program.
*
* Copyright 2019 Numerical Algorithms Group.
*
* Mark 27.0, 2019.
*/
#include <stdio.h>
#include <nag.h>
int main(void)
{
/* Scalars */
double abserr, beta, y0, eps;
Integer exit_status, i, j, l1, l2, lmax, n, pda, pdb, pdsigma;
NagError fail;
Nag_OrderType order;
/* Arrays */
double *a = 0, *b = 0, *c = 0, *ela = 0, *emu = 0, *rmom = 0;
double *sigma = 0;
#ifdef NAG_COLUMN_MAJOR
#define A(I, J) a[(J-1)*pda + I - 1]
#define B(I, J) b[(J-1)*pdb + I - 1]
#define SIGMA(I, J) sigma[(J-1)*pdsigma + I - 1]
order = Nag_ColMajor;
#else
#define A(I, J) a[(I-1)*pda + J - 1]
#define B(I, J) b[(I-1)*pdb + J - 1]
#define SIGMA(I, J) sigma[(I-1)*pdsigma + J - 1]
order = Nag_RowMajor;
#endif
INIT_FAIL(fail);
exit_status = 0;
printf("nag_stat_moments_ratio_quad_forms (g01nbc) Example Program Results\n");
/* Skip heading in data file */
scanf("%*[^\n] ");
scanf("%lf%lf%*[^\n] ", &beta, &y0);
scanf("%" NAG_IFMT "%" NAG_IFMT "%" NAG_IFMT "%*[^\n] ", &n, &l1, &l2);
/* Allocate memory */
if (!(a = NAG_ALLOC(n * n, double)) ||
!(b = NAG_ALLOC(n * n, double)) ||
!(c = NAG_ALLOC(n * n, double)) ||
!(ela = NAG_ALLOC(n, double)) ||
!(emu = NAG_ALLOC(n, double)) ||
!(rmom = NAG_ALLOC(l2 - l1 + 1, double)) ||
!(sigma = NAG_ALLOC(n * n, double)))
{
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
pda = n;
pdb = n;
pdsigma = n;
/* Compute A, EMU, and SIGMA for simple autoregression */
for (i = 1; i <= n; ++i) {
for (j = i; j <= n; ++j) {
A(j, i) = 0.0;
B(j, i) = 0.0;
}
}
for (i = 1; i <= n - 1; ++i) {
A(i + 1, i) = 0.5;
B(i, i) = 1.0;
}
emu[0] = y0 * beta;
for (i = 1; i <= n - 1; ++i)
emu[i] = beta * emu[i - 1];
SIGMA(1, 1) = 1.0;
for (i = 2; i <= n; ++i)
SIGMA(i, i) = beta * beta * SIGMA(i - 1, i - 1) + 1.0;
for (i = 1; i <= n; ++i) {
for (j = i + 1; j <= n; ++j)
SIGMA(j, i) = beta * SIGMA(j - 1, i);
}
eps = 0.0;
/* nag_stat_moments_ratio_quad_forms (g01nbc).
* Moments of ratios of quadratic forms in Normal variables,
* and related statistics
*/
nag_stat_moments_ratio_quad_forms(order, Nag_RatioMoments, Nag_MeanInclude, n,
a, n, b, n, c, n, ela, emu, sigma, n, l1, l2,
&lmax, rmom, &abserr, eps, &fail);
if (fail.code == NE_NOERROR || fail.code == NE_SOME_MOMENTS
|| fail.code == NE_ACCURACY) {
printf("\n");
printf(" n = %3" NAG_IFMT " beta = %6.3f y0 = %6.3f\n", n, beta, y0);
printf("\n");
printf(" Moments\n");
printf("\n");
j = 0;
for (i = l1; i <= lmax; ++i) {
++j;
printf("%3" NAG_IFMT "%12.3e\n", i, rmom[j - 1]);
}
}
else {
printf("Error from nag_stat_moments_ratio_quad_forms (g01nbc).\n%s\n",
fail.message);
exit_status = 1;
goto END;
}
END:
NAG_FREE(a);
NAG_FREE(b);
NAG_FREE(c);
NAG_FREE(ela);
NAG_FREE(emu);
NAG_FREE(rmom);
NAG_FREE(sigma);
return exit_status;
}