source: tol/doc/modeling/BSR/bsr.import.exa.tol @ 8c8cb65

NameBlock Build.Example.BSR(Text path.out, Text session.id,
                            Serie Y, Set X)
{
  Real beta1 = Rand(-1,1);
  Real beta2 = Rand(-1,beta1);

  NameBlock [[
    Text _.path.out = path.out;
    Text _.session.id = session.id;
    NameBlock _.bsr.ARMA.2_1 = [[
      Text _.dating.name = DatingName(Y);
      Date _.first = First(Y);
      Date _.last = Last(Y),
      Matrix _.Y = SerMat(Y);
      Matrix _.X = SerSetMat(X);
      Set _.beta.ini = [[beta1, beta2]];
  
      Text Get.Name(Real void)
      {
        Text "ObsY"
      };

      Text Get.Sigma2(Real void)
      {
        Text "sigma2"
      };

      Set Get.TimeInfo(Real void)
      {
        Set BSR.NoiseTimeInfo(TimeSet Eval(_.dating.name), _.first, _.last)
      };

      Real Get.ARIMA.Size(Real void)
      {
        Real 1
      };

      Set Get.ARIMA.Factor(Real f)
      {
        Set ARIMAStruct(1, 1-0.1*B-0.1*B^2, 1-0.1*B, 1)
      };

      Real Get.Param.Size(Real void) 
      {
        Real Rows(_.X)
      };

      Set Get.Param(Real iP)
      {
        Real value = If(iP>2, Real Rand(-1,1),
                        _.beta.ini[iP]);
        Set Bsr.Param.Info("beta_"+IntText(iP), value, -1/0, 1/0)
      };

      Real Get.Missing.Size(Real void)
      {
        Real 0
      };

      Set Get.Missing(Real iP)
      {
        Set Empty
      };

      Real Get.Equation.Size(Real void)
      {
        // _.X e _.Y están dispuestas por filas
        // asi las ecuaciones estan por columnas
        Real Columns(_.X)
      };

      Real Get.Equation.Output(Real iE)
      {
        Real MatDat(_.Y,1,iE)
      };

      Real Get.Equation.Input.Size(Real iE)
      {
        Real Rows(_.X) 
      };

      Real Get.Equation.Input.Coef(Real iE, Real iT)
      {
        Real MatDat(_.X, iT,iE)
      };

      Text Get.Equation.Input.Param(Real iE, Real iT)
      {
        Text "beta_"+IntText(iT)
      };

      NameBlock Get.Constraints.Handler(Real void)
      {
        NameBlock BysMcmc::Bsr::Import::Explicit.Constraints([["0>=-beta_1+beta_2"]])
      }
    ]];

    Text Get.Doc.Model.Name(Real void)
    {
      Text "BSRExample"
    };

    Text Get.Doc.Model.Description(Real void)
    {
      Text "Modelo simple ARMA(2,1)"
    };

    Text Get.Doc.Session.Name(Real void) 
    {
      Text _.session.id
    };

    Text Get.Doc.Session.Description(Real void)
    {
      Text "Session "+_.session.id+" para el modelo: " +
           Get.Doc.Model.Name(0) + " " + Get.Doc.Model.Description(0)
    };

    Text Get.Doc.Session.Authors(Real void)
    {
      Text "user@bayesforecast.com"
    };

    Text Get.Doc.Path(Real void)
    {
      Text _.path.out
    };

    Real Get.LinReg.Size(Real void)
    {
      // para el ejemplo actual solo tenemos un segmento de regresión
      Real 1
    };

    NameBlock Get.LinReg.Segment(Real iS)
    {
      // en este caso retornamos el NameBlock para el único segmento
      // que se modela para mas de un segmento de regresión se suele
      // usar un Set que es indexado por iS: _bsr.blocks[iS]
      NameBlock _.bsr.ARMA.2_1
    };

    NameBlock Get.Constraints.Handler(Real void)
    {
      // retornamos un NameBlock predefinido para el caso
      // no restringido
      NameBlock BysMcmc::Bsr::Import::Unconstrained(0)
    }
  ]]
};

/*
NameBlock bsr.config = [[
//MCMC dimensions
  Real mcmc.burnin        =  100; 
  Real mcmc.sampleLength  = 2000;
  Real mcmc.cacheLength   =  100;
//Basic master configuration
  Real basic.cholesky.epsilon          = 1.E-10;
  Real basic.cholesky.warningFreq      = 100;
  Real basic.truncMNormal.gibbsNumIter = 5;
//Report configuration
  Real report.raftery.diag.q   = 0.025;
  Real report.raftery.diag.r   = 0.007;   
  Real report.raftery.diag.s   = 0.950;   
  Real report.raftery.diag.eps = 0.001; 
  Real report.acf.lag          = 20,
  Real report.histogram.parts  = 100;
  Real report.kerDens.points   = 0;
//Generic flags
  Real do.resume          =  False;
  Real do.report          =  True;
  Real do.eval            =  True;
  Real do.linear.effects  =  True
]];


Serie WN = SubSer(Gaussian(0,1),y2000,y2008);
Polyn AR = (1-0.7*B)*(1-0.3*B);
Polyn MA = 1-0.2*B;
Ration Q = MA/AR;
Serie Z = DifEq(Q,WN);
Real K = 4;
Real beta1=Rand(-1,1);
Real beta2=Rand(-1,beta1);
Set BETA = [[beta1, beta2]]<<For(3,K, Real(Real ik) {Rand(-1,1)});
Set X = For(1,K,Serie(Real _k)
  {
   Real s = Rand(0,1);
   Real l = Rand(0,10);
   Serie SubSer(Rand(l,l) + Gaussian(0,s),y2007,y2008)});


Serie Y = SetSum(For(1,K,Serie(Real _k)
  {Serie BETA[_k]*X[_k]})) + SubSer(Z,y2007,y2008);

NameBlock bsr.import = Build.Example.BSR("/tmp/", Text "session01", Serie Y, Set X);

Text file.bsr = BysMcmc::Bsr::Import::Write(bsr.import);

Set bsr.parsed = BSR.Parse(file.bsr);

Set bsr.estim = { BysMcmc::Bsr::Gibbs::Estim
                    (
                     Set modelDef = bsr.parsed,
                     NameBlock bsr.config
                    )};
*/