ARMA.rar_ARMA模型 C++_c arma_c++ arma模型_visual c

#include<iostream> #include<cstddef> #include"stdlib.h" #include"stdio.h" #include"math.h" #include"malloc.h" using namespace std; class Power { public: Power(){} ~Power(){} double uniform(double a,double b,long int * seed); double gauss(double mean,double sigma,long int * s); void arma(double a[],double b[],int p,int q,double mean,double sigma,long *seed,double x[],int n); }; double Power::uniform(double a,double b,long int * seed) { double t; *seed=2045*(*seed)+1; *seed=*seed-(*seed/1048576)*1048576; t=(*seed)/1048576.0; t=a+(b-a)*t; return (t); } double Power::gauss(double mean,double sigma,long int * s) { int i;double x,y; for(x=0,i=0;i<12;i++) x+=uniform(0.0,1.0,s); x=x-6.0; y=mean+x*sigma; return(y); } void Power::arma(double a[],double b[],int p,int q,double mean,double sigma,long *seed,double x[],int n) { int i,k,m; double s,*w; w=(double *)malloc(n*sizeof(double)); for(k=0;k<n;k++) {w[k]=gauss(mean,sigma,seed); /*cout<<w[k]<<endl;*/} x[0]=b[0]*w[0]; for(k=1;k<=p;k++) { s=0.0; for(i=1;i<=k;i++) { s+=a[i]*x[k-i]; } s=b[0]*w[k]-s; if(q==0) { x[k]=s; continue; } m=(k>q)?q:k; for(i=1;i<=m;i++) { s+=b[i]*w[k-i]; } x[k]=s; } for(k=(p+1);k<n;k++) { s=0.0; for(i=1;i<=p;i++) { s+=a[i]*x[k-i]; } s=b[0]*w[k]-s; if(q==0) { x[k]=s; continue; } for(i=1;i<=q;i++) {s+=b[i]*w[k-i];} x[k]=s; } free(w); } void main() { Power P; int i,n,p,q; long seed; double mean,sigma,x[200]; static double a[3]={1.0,1.45,0.6}; static double b[1]={1.0}; FILE *fp; n=200; p=2; q=0; seed=135791; mean=0.0; sigma=0.5; P.arma(a,b,p,q,mean,sigma,&seed,x,n); for(i=0;i<32;i+=4) { printf(" %10.7lf %10.7lf",x[i],x[i+1]); printf(" %10.7lf %10.7lf",x[i+2],x[i+3]); printf("\n"); } }