! G13DKF Example Program Text
! Mark 30.1 Release. NAG Copyright 2024.
Module g13dkfe_mod
! G13DKF 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 :: fprint
! .. Parameters ..
Integer, Parameter, Public :: iset = 1, nin = 5, nout = 6
Contains
Subroutine fprint(k,nm,lmax,predz,sefz,ldsefz,nout)
! .. Scalar Arguments ..
Integer, Intent (In) :: k, ldsefz, lmax, nm, nout
! .. Array Arguments ..
Real (Kind=nag_wp), Intent (In) :: predz(ldsefz,lmax), &
sefz(ldsefz,lmax)
! .. Local Scalars ..
Integer :: i, i2, j, l, l2, loop
! .. Intrinsic Procedures ..
Intrinsic :: min, mod
! .. Executable Statements ..
Write (nout,*)
Write (nout,*) ' FORECAST SUMMARY TABLE'
Write (nout,*) ' ----------------------'
Write (nout,*)
Write (nout,99999) ' Forecast origin is set at t = ', nm
Write (nout,*)
loop = lmax/5
If (mod(lmax,5)/=0) Then
loop = loop + 1
End If
Do j = 1, loop
i2 = (j-1)*5
l2 = min(i2+5,lmax)
Write (nout,99998) 'Lead Time ', (i,i=i2+1,l2)
Write (nout,*)
i = 1
Write (nout,99997) 'Series ', i, ' : Forecast ', &
(predz(1,l),l=i2+1,l2)
Write (nout,99996) ' : Standard Error ', (sefz(1,l),l=i2+1,l2)
Do i = 2, k
Write (nout,99997) 'Series ', i, ' : Forecast ', &
(predz(i,l),l=i2+1,l2)
Write (nout,99996) ' : Standard Error ', (sefz(i,l),l=i2+1,l2)
End Do
Write (nout,*)
End Do
Return
99999 Format (1X,A,I4)
99998 Format (1X,A,12X,5I10)
99997 Format (1X,A,I2,A,5F10.2)
99996 Format (10X,A,4(F7.2,3X),F7.2)
End Subroutine fprint
End Module g13dkfe_mod
Program g13dkfe
! G13DKF Example Main Program
! .. Use Statements ..
Use g13dkfe_mod, Only: fprint, iset, nin, nout
Use nag_library, Only: g13ddf, g13djf, g13dkf, g13dlf, nag_wp, x04abf
! .. Implicit None Statement ..
Implicit None
! .. Local Scalars ..
Real (Kind=nag_wp) :: cgetol, rlogl
Integer :: d, i, ifail, ip, iprint, iq, ishow, &
k, kmax, ldcm, liwork, lmax, lpar, &
lref, lwork, m, maxcal, mlast, n, &
nadv, nd, niter, r, tddelta, tdv
Logical :: exact, meanl
Character (1) :: mean
! .. Local Arrays ..
Real (Kind=nag_wp), Allocatable :: cm(:,:), delta(:,:), g(:), par(:), &
predz(:,:), qq(:,:), ref(:), &
sefz(:,:), v(:,:), w(:,:), work(:), &
workl(:), z(:,:)
Integer, Allocatable :: id(:), iwork(:)
Logical, Allocatable :: parhld(:)
Character (1), Allocatable :: tr(:)
! .. Intrinsic Procedures ..
Intrinsic :: max, maxval
! .. Executable Statements ..
Write (nout,*) 'G13DKF Example Program Results'
Write (nout,*)
! Skip heading in data file
Read (nin,*)
! Read in the problem size
Read (nin,*) k, n
Allocate (id(k))
! Read in differencing
Read (nin,*) id(1:k)
d = maxval(id(1:k))
tddelta = max(d,1)
nd = n - d
kmax = k
Allocate (z(kmax,n),tr(k),delta(kmax,tddelta),w(kmax,nd),workl(k*n))
! Read in series and the transformation flag
Read (nin,*)(z(i,1:n),i=1,k)
Read (nin,*) tr(1:k)
! If required, read in delta
If (d>0) Then
Read (nin,*)(delta(i,1:id(i)),i=1,k)
End If
! Difference and / or transform series
ifail = 0
Call g13dlf(k,n,z,kmax,tr,id,delta,w,nd,workl,ifail)
! Read in information on the VARMA
Read (nin,*) ip, iq, mean, lmax
! Calculate number of parameters for the VARMA
lpar = (ip+iq)*k*k
If (mean=='M' .Or. mean=='m') Then
lpar = lpar + k
meanl = .True.
Else
meanl = .False.
End If
! Read in control parameters
Read (nin,*) iprint, cgetol, maxcal, ishow
! Read in exact likelihood flag
Read (nin,*) exact
ldcm = lpar
tdv = nd
Allocate (par(lpar),parhld(lpar),qq(kmax,k),v(kmax,tdv),g(lpar), &
cm(ldcm,lpar))
! Read in initial parameter estimates and free parameter flags
Read (nin,*) par(1:lpar)
Read (nin,*) parhld(1:lpar)
! Read in initial values for covariance matrix Q
Read (nin,*)(qq(i,1:i),i=1,k)
! Set the advisory channel to NOUT for monitoring information
If (iprint>=0 .Or. ishow/=0) Then
nadv = nout
Call x04abf(iset,nadv)
End If
! Fit a VARMA model
ifail = -1
Call g13ddf(k,nd,ip,iq,meanl,par,lpar,qq,kmax,w,parhld,exact,iprint, &
cgetol,maxcal,ishow,niter,rlogl,v,g,cm,ldcm,ifail)
If (ifail/=0) Then
If (ifail<4) Then
Go To 100
End If
End If
lref = (lmax-1)*k*k + 2*k*lmax + k
r = max(ip,iq)
lwork = max(k*r*(k*r+2),(ip+d+2)*k**2+(n+lmax)*k)
liwork = k*max(ip,iq)
Allocate (predz(kmax,lmax),sefz(kmax,lmax),ref(lref),work(lwork), &
iwork(liwork))
! Forecast from VARMA
ifail = 0
Call g13djf(k,n,z,kmax,tr,id,delta,ip,iq,mean,par,lpar,qq,v,lmax,predz, &
sefz,ref,lref,work,lwork,iwork,liwork,ifail)
! Display results
Call fprint(k,n,lmax,predz,sefz,kmax,nout)
! Update forecasts
mlast = 0
d_lp: Do
Read (nin,*,Iostat=ifail) m
If (ifail/=0) Then
Exit d_lp
End If
Read (nin,*,Iostat=ifail)(z(1:k,i),i=1,m)
If (ifail/=0) Then
Exit d_lp
End If
! Reallocate V if required
If (tdv<m) Then
Deallocate (v)
Allocate (v(kmax,m))
End If
! Reallocate WORK if required
If (lwork<k*m) Then
Deallocate (work)
Allocate (work(lwork))
End If
! Update forecast
ifail = 0
Call g13dkf(k,lmax,m,mlast,z,kmax,ref,lref,v,predz,sefz,work,ifail)
Call fprint(k,n+mlast,lmax,predz,sefz,kmax,nout)
End Do d_lp
100 Continue
End Program g13dkfe