R/sigex.default.r

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

#' Initializes param with zeroes according to the constraints
#'
#' 	Background:
#'		param is the name for the model parameters entered into
#'		a list object with a more intuitive structure, whereas
#'		psi refers to a vector of real numbers containing all
#'		hyper-parameters (i.e., reals mapped bijectively to the parameter	manifold)
#'
#'	Format: psi has three portions, psi = [xi,zeta,beta]
#'		xi ~ all hyper-parameters for covariance matrices
#'		zeta ~ all hyper-parameters for t.s. models
#'		beta ~ all regression parameters
#'
#' @param mdl The specified sigex model, a list object
#' @param	data.ts A T x N matrix ts object (with no missing values)
#'			corresponding to N time series of length T
#' @param constraint Matrix of the form [Q , C], with C (constraint.mat)
#'     the matrix of constraints and Q (constraint.vec) the vector
#'     of constraint constants, such that C psi = Q.
#'     Use NULL if there are no constraints
#'
#' @return par.default: this is param, filled from a psi of all zeroes,
#'			subject to constraints.  Will have form specified by mdl.
#' @export
#'

sigex.default <- function(mdl,data.ts,constraint)
{

	##########################################################################
	#
	#	sigex.default
	# 	    Copyright (C) 2019  Tucker McElroy
	#
	#    This program is free software: you can redistribute it and/or modify
	#    it under the terms of the GNU General Public License as published by
	#    the Free Software Foundation, either version 3 of the License, or
	#    (at your option) any later version.
	#
	#    This program is distributed in the hope that it will be useful,
	#    but WITHOUT ANY WARRANTY; without even the implied warranty of
	#    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
	#    GNU General Public License for more details.
	#
	#    You should have received a copy of the GNU General Public License
	#    along with this program.  If not, see <https://www.gnu.org/licenses/>.
	#
	############################################################################

	################# Documentation #####################################
	#
	#	Purpose: initializes param with zeroes according to the constraints
	#	Background:
	#		param is the name for the model parameters entered into
	#		a list object with a more intuitive structure, whereas
	#		psi refers to a vector of real numbers containing all
	#		hyper-parameters (i.e., reals mapped bijectively to the parameter	manifold)
  #	Format: psi has three portions, psi = [xi,zeta,beta]
	#		xi ~ all hyper-parameters for covariance matrices
	#		zeta ~ all hyper-parameters for t.s. models
	#		beta ~ all regression parameters
	#	Inputs:
	#		mdl: the specified sigex model, a list object
	#		data.ts: a T x N matrix ts object
  #		constraint: matrix of the form [Q , C], with C (constraint.mat)
  #     the matrix of constraints and Q (constraint.vec) the vector
  #     of constraint constants, such that C psi = Q.
  #     Use NULL if there are no constraints
  #	Outputs:
	#		par.default: this is param, filled from a psi of all zeroes,
	#			subject to constraints.  Will have form specified by mdl.
	#	Requires: sigex.zetalen, sigex.psi2par, sigex.eta2psi
	#
	####################################################################

	x <- t(data.ts)
	N <- dim(x)[1]
	T <- dim(x)[2]
	A.mat <- matrix(0,N,N)
	A.mat[lower.tri(A.mat)] <- 1
	psi.len <- 0

	for(i in 1:length(mdl[[3]]))
	{
		vrank <- mdl[[1]][[i]]
		D.dim <- length(vrank)
		L.dim <- sum(A.mat[,as.vector(vrank)])
		psi.len <- psi.len + D.dim + L.dim
		mdlType <- mdl[[2]][[i]]
		psi.len <- psi.len + sigex.zetalen(mdlType,N)
	}
	for(k in 1:N)
	{
		psi.len <- psi.len + dim(mdl[[4]][[k]])[2]
	}
	psi <- rep(0,psi.len)

	if(length(constraint) > 0)
	{
	  eta <- rep(0,dim(constraint)[2] -1 - dim(constraint)[1])
	  psi <- sigex.eta2psi(eta,constraint)
	}

	par.default <- sigex.psi2par(psi,mdl,data.ts)

	return(par.default)
}