NAG Library Manual, Mark 28.4
Interfaces:  FL   CL   CPP   AD 

NAG CL Interface Introduction
Example description
/* nag_tsa_multi_varma_update (g13dkc) Example Program.
 *
 * Copyright 2022 Numerical Algorithms Group.
 *
 * Mark 28.4, 2022.
 */

#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");
    }
  }
}