fix initial params extra allocations (#46)

* fix initial params extra allocations

* fix simulate

Author: guilhermebodin

src/gas/initial_params.jl

@@ -2,34 +2,42 @@ export stationary_initial_params_tilde, stationary_initial_params, dynamic_initi
 
 """
     stationary_initial_param_tilde(gas::GAS{D, T}) where {D, T}
+
+#TODO
 """
 function stationary_initial_params_tilde(gas::GAS{D, T}) where {D, T}
     biggest_lag = number_of_lags(gas)
     n_params = num_params(D)
     initial_params_tilde = Matrix{T}(undef, biggest_lag, n_params)
-    for t in 1:biggest_lag
-        initial_params_tilde[t, :] = gas.ω./diag(I - gas.B[1])
+    for t in 1:biggest_lag, p in 1:n_params
+        # ω/(1 - sum(B[p, p]))
+        initial_params_tilde[t, p] = gas.ω[p]/(1 - sum(v[p, p] for (k, v) in gas.B))
     end
     return initial_params_tilde
 end
 
 """
     stationary_initial_params(gas::GAS{D, T}) where {D, T}
+
+#TODO
 """
 function stationary_initial_params(gas::GAS{D, T}) where {D, T}
     biggest_lag = number_of_lags(gas)
     n_params = num_params(D)
     initial_params_tilde = Matrix{T}(undef, biggest_lag, n_params)
     initial_params = Matrix{T}(undef, biggest_lag, n_params)
-    for t in 1:biggest_lag
-        initial_params_tilde[t, :] = gas.ω./diag(I - gas.B[1])
+    for t in 1:biggest_lag, p in 1:n_params
+        # ω/(1 - sum(B[p, p]))
+        initial_params_tilde[t, p] = gas.ω[p]/(1 - sum(v[p, p] for (k, v) in gas.B))
         unlink!(initial_params, D, initial_params_tilde, t)
     end
     return initial_params
 end
 
 """
     dynamic_initial_params
+
+    #TODO This is an heuristic! only seen in some phd thesis.
 """
 function dynamic_initial_params(obs::Vector{T}, gas::GAS{D, T}) where {D, T}
     # Take the biggest lag

src/gas/simulate.jl

@@ -16,7 +16,7 @@ function simulate(serie::Vector{T}, gas::GAS{D, T}, N::Int, S::Int;
     params_simulation = params[(end - biggest_lag):(end - 1), :]
     # Create scenarios matrix
     scenarios = Matrix{T}(undef, N, S)
-    for scenario in 1:s
+    for scenario in 1:S
         sim, param = simulate_recursion(gas, N + biggest_lag; initial_params = params_simulation)
         scenarios[:, scenario] = sim[biggest_lag + 1:end]
     end

test/test_initial_params.jl

@@ -12,7 +12,8 @@
 
         gas_1_2 = GAS(1, 2, Normal, 0.0)
         gas_1_2.ω = [1; 1]
-        gas_1_2.B[1] = [0.8 0;0 0.5]
+        gas_1_2.B[1] = [0.4 0;0 0.25]
+        gas_1_2.B[2] = [0.4 0;0 0.25]
         initial_params_tilde = stationary_initial_params_tilde(gas_1_2)
         initial_params = stationary_initial_params(gas_1_2)
         @test initial_params_tilde[1, 1] ≈ 5 atol = 1e-2 rtol = 1e-2