/* nag_rand_times_mv_varma (g05pjc) Example Program.
*
* Copyright 2024 Numerical Algorithms Group.
*
* Mark 30.0, 2024.
*/
/* Pre-processor includes */
#include <math.h>
#include <nag.h>
#include <stdio.h>
#define VAR(I, J) \
var[(order == Nag_RowMajor) ? (I * pdvar + J) : (J * pdvar + I)]
#define X(I, J) x[(order == Nag_RowMajor) ? (I * pdx + J) : (J * pdx + I)]
#define PHI(I, J, L) phi[(L)*k * k + (J)*k + (I)]
#define THETA(I, J, L) theta[(L)*k * k + (J)*k + (I)]
int main(void) {
/* Integer scalar and array declarations */
Integer exit_status = 0;
Integer lr, x_size, var_size, i, ip, iq, j, k, l, lstate, n, tmp1, tmp2, tmp3,
tmp4, tmp5;
Integer *state = 0;
Integer pdx, pdvar;
/* NAG structures */
NagError fail;
Nag_ModeRNG mode;
/* Double scalar and array declarations */
double *phi = 0, *r = 0, *theta = 0, *var = 0, *x = 0, *xmean = 0;
/* Use column major order */
Nag_OrderType order = Nag_ColMajor;
/* Choose the base generator */
Nag_BaseRNG genid = Nag_Basic;
Integer subid = 0;
/* Set the seed */
Integer seed[] = {1762543};
Integer lseed = 1;
/* Initialize the error structure */
INIT_FAIL(fail);
printf("nag_rand_times_mv_varma (g05pjc) Example Program Results\n\n");
/* Get the length of the state array */
lstate = -1;
nag_rand_init_repeat(genid, subid, seed, lseed, state, &lstate, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_rand_init_repeat (g05kfc).\n%s\n", fail.message);
exit_status = 1;
goto END;
}
/* Read data from a file */
/* Skip heading */
scanf("%*[^\n] ");
/* Read in initial parameters */
scanf("%" NAG_IFMT "%" NAG_IFMT "%" NAG_IFMT "%" NAG_IFMT "%*[^\n] ", &k, &ip,
&iq, &n);
/* Calculate the size of the reference vector */
tmp1 = (ip > iq) ? ip : iq;
if (ip == 0) {
tmp2 = k * (k + 1) / 2;
} else {
tmp2 = k * (k + 1) / 2 + (ip - 1) * k * k;
}
tmp3 = ip + iq;
if (k >= 6) {
lr = (5 * tmp1 * tmp1 + 1) * k * k + (4 * tmp1 + 3) * k + 4;
} else {
tmp4 = k * tmp1 * (k * tmp1 + 2);
tmp5 = k * k * tmp3 * tmp3 + tmp2 * (tmp2 + 3) + k * k * (iq + 1);
lr = (tmp3 * tmp3 + 1) * k * k + (4 * tmp3 + 3) * k +
((tmp4 > tmp5) ? tmp4 : tmp5) + 4;
}
pdvar = k;
pdx = (order == Nag_ColMajor) ? k : n;
x_size = (order == Nag_ColMajor) ? pdx * n : pdx * k;
var_size = pdvar * k;
/* Allocate arrays */
if (!(phi = NAG_ALLOC(ip * k * k, double)) || !(r = NAG_ALLOC(lr, double)) ||
!(theta = NAG_ALLOC(iq * k * k, double)) ||
!(var = NAG_ALLOC(var_size, double)) ||
!(x = NAG_ALLOC(x_size, double)) || !(xmean = NAG_ALLOC(k, double)) ||
!(state = NAG_ALLOC(lstate, Integer))) {
printf("Allocation failure\n");
exit_status = -1;
goto END;
}
/* Read in the AR parameters */
for (l = 0; l < ip; l++) {
for (i = 0; i < k; i++) {
for (j = 0; j < k; j++)
scanf("%lf ", &PHI(i, j, l));
}
}
scanf("%*[^\n] ");
/* Read in the MA parameters */
if (iq > 0) {
for (l = 0; l < iq; l++) {
for (i = 0; i < k; i++) {
for (j = 0; j < k; j++)
scanf("%lf ", &THETA(i, j, l));
}
}
scanf("%*[^\n] ");
}
/* Read in the means */
for (i = 0; i < k; i++)
scanf("%lf ", &xmean[i]);
scanf("%*[^\n] ");
/* Read in the variance / covariance matrix */
for (i = 0; i < k; i++) {
for (j = 0; j <= i; j++)
scanf("%lf ", &VAR(i, j));
}
scanf("%*[^\n] ");
/* Initialize the generator to a repeatable sequence */
nag_rand_init_repeat(genid, subid, seed, lseed, state, &lstate, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_rand_init_repeat (g05kfc).\n%s\n", fail.message);
exit_status = 1;
goto END;
}
/* Generate the first realization */
mode = Nag_InitializeAndGenerate;
nag_rand_times_mv_varma(order, mode, n, k, xmean, ip, phi, iq, theta, var,
pdvar, r, lr, state, x, pdx, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_rand_times_mv_varma (g05pjc).\n%s\n", fail.message);
exit_status = 1;
goto END;
}
/* Display the results */
printf(" Realization Number 1\n");
for (i = 0; i < k; i++) {
printf("\n Series number %3" NAG_IFMT "\n", i + 1);
printf(" -------------\n\n ");
for (j = 0; j < n; j++)
printf("%9.3f%s", X(i, j), (j + 1) % 8 ? " " : "\n ");
}
printf("\n");
/* Generate a second realization */
mode = Nag_ReGenerateFromReference;
nag_rand_times_mv_varma(order, mode, n, k, xmean, ip, phi, iq, theta, var,
pdvar, r, lr, state, x, pdx, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_rand_times_mv_varma (g05pjc).\n%s\n", fail.message);
exit_status = 1;
goto END;
}
/* Display the results */
printf(" Realization Number 2\n");
for (i = 0; i < k; i++) {
printf("\n Series number %3" NAG_IFMT "\n", i + 1);
printf(" -------------\n\n ");
for (j = 0; j < n; j++)
printf("%9.3f%s", X(i, j), (j + 1) % 8 ? " " : "\n ");
}
printf("\n");
END:
NAG_FREE(phi);
NAG_FREE(r);
NAG_FREE(theta);
NAG_FREE(var);
NAG_FREE(x);
NAG_FREE(xmean);
NAG_FREE(state);
return exit_status;
}