vtb::core::Choi_yule_walker_solver< T, N > Class Template Reference

Computes AR model coefficients using an order-recursvive method from [Choi1999]. More...

#include <yule_walker_solver.hh>

Inheritance diagram for vtb::core::Choi_yule_walker_solver< T, N >:

Collaboration diagram for vtb::core::Choi_yule_walker_solver< T, N >:

Public Types
typedef T	value_type
	Array element type.
typedef blitz::Array< T, N >	array_type
	Three-dimensional array type.
typedef std::unique_ptr< Yule_walker_solver< T, N > >	pointer
Public Types inherited from vtb::core::Yule_walker_solver< T, N >
typedef T	value_type
	Array element type.
typedef blitz::Array< T, N >	array_type
	Three-dimensional array type.
typedef std::unique_ptr< Yule_walker_solver< T, N > >	pointer

Public Member Functions
	Choi_yule_walker_solver (const Choi_yule_walker_solver &)=default
Choi_yule_walker_solver &	operator= (const Choi_yule_walker_solver &)=default
array_type	solve (array_type acf) override
	Solve Yule—Walker system of equations. More...
pointer	copy () const override
bool	determine_the_order () const noexcept
void	determine_the_order (bool rhs) noexcept
void	do_not_determine_the_order () noexcept
void	chop (bool rhs) noexcept
bool	chop () const noexcept
void	do_not_chop () noexcept
value_type	chop_epsilon () const noexcept
void	chop_epsilon (value_type rhs) noexcept
value_type	var_epsilon () const noexcept
void	var_epsilon (value_type rhs) noexcept
void	max_order (int rhs)
int	max_order () const noexcept
void	min_variance (T rhs) noexcept
T	min_variance () const noexcept
Public Member Functions inherited from vtb::core::Yule_walker_solver< T, N >
	Yule_walker_solver (const Yule_walker_solver &)=default
Yule_walker_solver &	operator= (const Yule_walker_solver &)=default
array_type	operator() ()
	Solve Yule—Walker system of equations. More...
value_type	white_noise_variance () const noexcept

Additional Inherited Members
Protected Member Functions inherited from vtb::core::Yule_walker_solver< T, N >
void	white_noise_variance (value_type rhs)

Detailed Description

template<class T, int N>
class vtb::core::Choi_yule_walker_solver< T, N >

Computes AR model coefficients using an order-recursvive method from [Choi1999].

Date

2018-01-12

Author

Ivan Gankevich

The AR model order is determined automatically. The algorithm works for square ACFs (i.e. ACF with the same number of points along each dimension).

Definition at line 132 of file yule_walker_solver.hh.

Member Function Documentation

chop()

template<class T , int N>

bool vtb::core::Choi_yule_walker_solver< T, N >::chop ( ) const

inlinenoexcept

Definition at line 220 of file yule_walker_solver.hh.

chop_epsilon()

template<class T , int N>

value_type vtb::core::Choi_yule_walker_solver< T, N >::chop_epsilon ( ) const

inlinenoexcept

Definition at line 231 of file yule_walker_solver.hh.

determine_the_order()

template<class T , int N>

bool vtb::core::Choi_yule_walker_solver< T, N >::determine_the_order ( ) const

inlinenoexcept

Definition at line 199 of file yule_walker_solver.hh.

max_order()

template<class T , int N>

int vtb::core::Choi_yule_walker_solver< T, N >::max_order ( ) const

inlinenoexcept

Definition at line 258 of file yule_walker_solver.hh.

solve()

template<class T , int N>

auto vtb::core::Choi_yule_walker_solver< T, N >::solve ( array_type  acf )

overridevirtual

Solve Yule—Walker system of equations.

Returns

three-dimensional array of coefficients

Initial stage.

Implements vtb::core::Yule_walker_solver< T, N >.

Definition at line 509 of file yule_walker_solver.cc.

var_epsilon()

template<class T , int N>

value_type vtb::core::Choi_yule_walker_solver< T, N >::var_epsilon ( ) const

inlinenoexcept

Definition at line 242 of file yule_walker_solver.hh.