42 lines
887 B
Mathematica
42 lines
887 B
Mathematica
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function [phiIn, mu0In, sigma0In, QIn] = iit_lds(P, S_bar, V, RR, Tr, sigma_sq)
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K = size(V,1)/3;
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[T, J] = size(P);
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T = T/2;
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y = zeros(2*J, T);
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P_hat_t = zeros(2*J, 1);
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M_t = zeros(2*J, K);
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for t=1:T,
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Pt = [P(t,:) P(t+T,:)]';
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Rt = [RR(t,:); RR(t+T,:)];
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P_hat_t(1:J,1) = (Rt(1,:)*S_bar)';
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P_hat_t(J+1:end,1) = (Rt(2,:)*S_bar)';
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for kk = 1:K,
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M_t(1:J, kk) = (Rt(1,:)*V(1+(kk-1)*3:kk*3, :))';
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M_t(J+1:end, kk) = (Rt(2,:)*V(1+(kk-1)*3:kk*3, :))';
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end
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M{t} = M_t;
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y(:, t) = Pt - P_hat_t;
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end
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A = eye(2*J)./sigma_sq;
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for t=1:T,
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temp1 = A*M{t};
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temp2 = A - temp1*inv(eye(K)+M{t}'*temp1)*temp1';
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temp1b(t,:) = y(:,t)'*temp2*M{t};
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end
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mu0In = mean(temp1b)';
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Q = cov(temp1b);
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QIn = Q;
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t1 = temp1b(1:T-1,:);
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t2 = temp1b(2:T,:);
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phiIn = inv(t1'*t1+Q)*t1'*t2;
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sigma0In = QIn;
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