pf::filters::gamFilter< dim_pred, float_t > Class Template Reference

A class template for Gamma filtering. More...

#include <cf_filters.h>

Inheritance diagram for pf::filters::gamFilter< dim_pred, float_t >:

Collaboration diagram for pf::filters::gamFilter< dim_pred, float_t >:

Public Types
using	psv = Eigen::Matrix< float_t, dim_pred, 1 >
	"predictor size vector"
using	tsv = Eigen::Matrix< float_t, 2, 1 >
	"two by 1 vector"
Public Types inherited from pf::bases::cf_filter< 1, 1, float_t >
using	obs_sized_vec = Eigen::Matrix< float_t, dimobs, 1 >
using	state_sized_vec = Eigen::Matrix< float_t, dimstate, 1 >

Public Member Functions
	gamFilter (const float_t &nOneTilde, const float_t &dOneTilde)
	Default constructor. More...
virtual	~gamFilter ()
	The (virtual) desuctor.
float_t	getLogCondLike () const
	Get the latest conditional likelihood. More...
tsv	getFilterVec () const
	Get the current filter vector. More...
void	update (const float_t &yt, const psv &xt, const psv &beta, const float_t &sigmaSquared, const float_t &delta)
	Perform a filtering update. More...
Public Member Functions inherited from pf::bases::cf_filter< 1, 1, float_t >
virtual	~cf_filter ()
	The (virtual) destructor.
virtual float_t	getLogCondLike () const=0
	returns the log of the most recent conditional likelihood More...

Private Attributes
tsv	m_filtVec
	filter vector (shape and rate)
float_t	m_lastLogCondLike
	last log of the conditional likelihood
bool	m_fresh
	has data been observed?

Detailed Description

template<size_t dim_pred, typename float_t>
class pf::filters::gamFilter< dim_pred, float_t >

A class template for Gamma filtering.

Author

taylor

Constructor & Destructor Documentation

gamFilter()

template<size_t dim_pred, typename float_t >

pf::filters::gamFilter< dim_pred, float_t >::gamFilter	(	const float_t &	nOneTilde,
		const float_t &	dOneTilde
	)

Default constructor.

Need ths fir constructing default std::array<>s. Fills all vectors and matrices with zeros. Constructor

Parameters

nOneTilde	degrees of freedom for time 1 prior.
dOneTilde	rate parameter for time 1 prior.

Member Function Documentation

getFilterVec()

template<size_t dim_pred, typename float_t >

auto pf::filters::gamFilter< dim_pred, float_t >::getFilterVec

Get the current filter vector.

get the current filtering distribution. First element is the shape, second is the rate.

Returns

a vector of the shape and rate parameters of f(p_t | y_{1:t})

getLogCondLike()

template<size_t dim_pred, typename float_t >

auto pf::filters::gamFilter< dim_pred, float_t >::getLogCondLike

Get the latest conditional likelihood.

Returns

the latest conditional likelihood.

update()

template<size_t dim_pred, typename float_t >

void pf::filters::gamFilter< dim_pred, float_t >::update	(	const float_t &	yt,
		const psv &	xt,
		const psv &	beta,
		const float_t &	sigmaSquared,
		const float_t &	delta
	)

Perform a filtering update.

Perform a Gamma filter update.

Parameters

yt	the most recent dependent random variable
xt	the most recent predictor vector
beta	the beta vector
sigmaSquared	the observation variance scale parameter.
delta	between 0 and 1 the discount parameter

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The documentation for this class was generated from the following file:

• include/pf/cf_filters.h