/
dtar.F
257 lines (257 loc) · 6.46 KB
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dtar.F
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c&DTAR
c&DTAR
subroutine dtar(args,nargs,vname)
c***************************************************************
c
c Subroutine to find AR parameters for a time series.
c
c alpha=dtar(x,n,m,iopto,ioptl,ioptm,nord,r0,rvar)
c
c****************************************************************
c
#include 'tslabc'
character args(nargs)*15,vname*15
double precision inprod
integer*2 ickl,ickse
c
c
if(ickl(args(1),np,nn).eq.1) go to 99
call ckint(args(2),n)
call ckint(args(3),m)
call ckint(args(4),iopto)
call ckint(args(5),ioptl)
call ckint(args(6),ioptm)
ipte=0
if(ioptm.lt.1.or.ioptm.gt.6) ipte=6
if(ioptl.lt.1.or.ioptl.gt.2) ipte=5
if(iopto.lt.1.or.iopto.gt.2) ipte=4
if(m.le.0.or.m.gt.n) ipte=3
if(n.lt.1.or.n.gt.nn) ipte=2
if(ipte.ne.0) then
call error(args,ipte,2)
go to 99
endif
c
c
nws=2*(n+m)+3*m
if(ickse(nws).eq.1) go to 99
npm=n+m
npm2=2*npm
do 100 i=1,npm
wk(i)=0.0
100 wk(npm+i)=0.0
n1=nstart(np)-1
do 110 i=1,n
c=array(n1+i)
wk(i)=c
110 wk(npm+i+1)=c
r0=inprod(wk(1),wk(1),n)/float(n)
rvar=r0
rvar1=rvar
brv=1.0
urv=1.0
cat=-1.0
on=n
oneon=1./on
on1=1.-on
on2=on*on
catmin=-(1.+oneon)
nord=0
npm3=npm2+m
npm4=mpm3+m
if(ioptl.eq.1) write(*,111)
if(iptrec.eq.1) write(3,111,err=701)
701 continue
111 format(5x,'i',5x,'part(i)',6x,'brv(i)',6x,'urv(i)',6x,'cat(i)',
1 /1x,55(1h-))
c
c start recursion :
c
do 120 i=1,m
c
c get partial :
c
if(ioptm.eq.2.or.ioptm.eq.4.or.ioptm.eq.6) go to 130
c
c yule-walker :
c
top=-2.*inprod(wk(1),wk(npm+1),npm)
bot=inprod(wk(1),wk(1),npm)+inprod(wk(npm+1),wk(npm+1),npm)
part=top/bot
go to 140
c
c burg :
c
130 top=-2.*inprod(wk(npm+i+1),wk(i+1),n-i)
bot=inprod(wk(npm+i+1),wk(npm+i+1),n-i)+
1 inprod(wk(i+1),wk(i+1),n-i)
part=top/bot
140 continue
if(part.le.-1.) part=-.9999
if(part.ge.1.) part=.9999
wk(npm2+i)=part
rvar1=rvar1*(1.-part*part)
c
c brv,urv,cat :
c
onpi=on+i
onmi=on-i
brv=brv*(1.-part*part)
urv1=urv
urv=(on/onmi)*brv
cat=cat+(on1/(on*urv))+(1./urv1)
wk(npm3+i)=cat
if(cat.ge.catmin) go to 150
catmin=cat
rvar=r0*brv
nord=i
150 continue
c
c shift :
c
do 160 j=1,npm-1
i1=npm-j+1
i2=i1-1
ni1=npm+i1
ni2=npm+i2
temp=wk(ni1)
wk(ni1)=wk(ni2)+part*wk(i2)
160 wk(i1)=wk(i1)+part*temp
wk(1)=wk(1)+part*wk(npm+1)
wk(npm+1)=0.0
c
c write information if asked for :
c
if(ioptl.eq.2) go to 120
if(ioptb.eq.1) go to 162
if(mod(i,22).eq.0) pause
162 write(*,161) i,-part,brv,urv,cat
161 format(1x,i5,4f12.6)
if(iptrec.eq.1) write(3,161,err=702) i,-part,brv,urv,cat
702 continue
c
c end recursion :
c
120 continue
c
c put output arguments in proper place :
c
if(iopto.eq.1) rvar=rvar1
if(iopto.eq.1) nord=m
write(*,175) nord
175 format(' nord = ',i3)
if(iptrec.eq.1) write(3,175,err=703) nord
703 continue
if(nord.eq.0) go to 217
if(ioptm.le.2) go to 217
if(ioptm.eq.3.or.ioptm.eq.4) go to 201
c
c ioptm=5 or 6 :
c
call subaic(wk(npm2+1),nord,n,r0,iwk,nord1,wk(npm4+1),rvar)
call movxy(wk(npm2+1),wk(npm4+1),4*nord)
nord=nord1
write(*,176) nord
176 format(' order after subset AIC = ',i2)
if(iptrec.eq.1) write(3,176,err=704) nord
704 continue
if(nord.eq.0) go to 217
write(*,214)
if(iptrec.eq.1) write(3,214,err=705)
705 continue
do 177 i=1,nord
if(wk(npm2+i).ne.0.) then
write(*,215) i,wk(npm2+i)
if(iptrec.eq.1) write(3,215,err=706) i,wk(npm2+i)
706 continue
endif
177 continue
go to 217
c
c ioptm=3 or 4 :
c
201 continue
on=2./sqrt(float(n))
write(*,214)
214 format(' nonzero partials :')
if(iptrec.eq.1) write(3,214,err=710)
710 continue
rvar=r0
nord1=0
do 213 i=1,nord
if(abs(wk(npm2+i)).lt.on) wk(npm2+i)=0.
if(wk(npm2+i).eq.0.) go to 213
rvar=rvar*(1.-wk(npm2+i)*wk(npm2+i))
nord1=i
write(*,215) i,-wk(npm2+i)
215 format(' part(',i2,') = ',f12.6)
if(iptrec.eq.1) write(3,215,err=711) i,-wk(npm2+i)
711 continue
213 continue
nord=nord1
217 continue
call ckaddi(args(7),nord,iref)
if(iref.eq.1) go to 99
call ckaddr(args(8),r0,iref)
if(iref.eq.1) go to 99
call ckaddr(args(9),rvar,iref)
if(iref.eq.1) go to 99
if(nord.eq.0) go to 219
call partar(wk(npm2+1),nord,wk(1))
lab='autoregressive coefficients'
call ckadda(vname,nord,lab,1,iref)
219 continue
if(nargs.eq.9) go to 99
if(iref.eq.1) go to 99
lab='CAT'
call ckadda(args(10),m,lab,npm3+1,iref)
c
c
99 continue
return
end
c&SUBAIC
subroutine subaic(part,nord,n,r0,iwk,nord1,parts,rvar)
c*****************************************************************
c
c Subroutine to find the subset of the partial autocorrelations
c that are significant according to the AIC criterion.
c
c input : nord,part(1),...,part(nord),n(sample size),r0
c
c output: nord1(highest lag partial), parts(1),...,parts(nord1):
c new array of partials with 0's at nonsignificant lags.
c rvar : residual variance of chosen model.
c
c*********************************************************************
c
dimension part(nord),iwk(nord),parts(nord)
c
do 10 i=1,nord
10 parts(i)=abs(part(i))
al1=0.0
almin=0.0
nsig=0
nord1=0
tovn=2./float(n)
do 20 i=1,nord
call max(parts,nord,pmax,indm)
al1=al1+alog(1.-pmax*pmax)+tovn
iwk(i)=indm
parts(indm)=0.0
if(al1.gt.almin)go to 20
almin=al1
nsig=i
if(indm.gt.nord1) nord1=indm
20 continue
rvar=r0
if(nsig.eq.0) go to 99
do 30 i=1,nsig
ii=iwk(i)
rvar=rvar*(1.-part(ii)*part(ii))
30 parts(ii)=part(ii)
99 continue
c
c
return
end