/
ma.F
149 lines (149 loc) · 3.56 KB
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ma.F
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c&MA
c&MACV
SUBROUTINE MACV(BETA,nq,sig,R,R0)
C*******************************************************
C
C SUBROUTINE TO CALCULATE THE AUTOCOVARIANCES R0,R(1),
C ...,R(NQ) FOR A MOVING AVERAGE PROCESS OF ORDER NQ
C WITH PARAMETERS BETA(1),...,BETA(NQ), AND SIG (RES VAR)
C
C INPUT :
C NQ,BETA(1),...,BETA(NQ),SIG
C
C OUTPUT :
C R0,R(1),...,R(NQ)
C
C SUBROUTINES CALLED : NONE
C
C*******************************************************
C
DIMENSION BETA(NQ),R(NQ)
C
C=1.
DO 1 I=1,NQ
1 C=C+BETA(I)*BETA(I)
R0=C*SIG
C
DO 2 I=1,NQ
C=BETA(I)
IF(I.EQ.NQ) GO TO 2
NQMI=NQ-I
DO 3 J=1,NQMI
3 C=C+BETA(J)*BETA(J+I)
2 R(I)=C*SIG
C
RETURN
END
c&MACORR
subroutine macorr(args,nargs,vname)
c******************************************************************
c
c Subroutine to find correlations of ma
c
c rho=macorr(beta,nq,rvar,ncorr,r0)
c
c*****************************************************************
c
#include 'tslabc'
character args(nargs)*15,vname*15
integer*2 ickl,icki,ickr,ickse
c
c
if(ickl(args(1),np,nb).eq.1) go to 99
call ckint(args(2),nq)
if(nq.le.0.or.nq.gt.nb) then
call error(args,2,2)
go to 99
endif
if(ickr(args(3),3,rvar,2,0.).eq.1) go to 99
if(icki(args(4),4,ncorr,1,nq).eq.1) go to 99
if(ickse(ncorr).eq.1) go to 99
c
c
ns=nstart(np)
call movct(wk,4*ncorr,char(0))
call macv(array(ns),nq,rvar,wk,r0)
do 50 i=1,nq
50 wk(i)=wk(i)/r0
call ckaddr(args(5),r0,iref)
if(iref.eq.1) go to 99
lab='MA correlations'
call ckadda(vname,ncorr,lab,1,iref)
99 continue
return
end
c&MADT
subroutine madt(args,nargs,vname)
c*******************************************************************
c
c Subroutine to generate data from an ma
c
c x=MADT(beta,nord,rvar,seed,n)
c
c********************************************************************
c
#include 'tslabc'
character args(nargs)*15,vname*15
integer*2 ickl,icki,ickr,ickse
c
c
if(ickl(args(1),np,nb).eq.1) go to 99
call ckint(args(2),nord)
if(nord.le.0.or.nord.gt.nb) then
call error(args,2,2)
go to 99
endif
if(ickr(args(3),3,rvar,2,0.).eq.1) go to 99
if(ickr(args(4),4,rseed,1,0.).eq.1) go to 99
if(rseed.ne.0.) i4seed=rseed
if(icki(args(5),5,n,2,nord).eq.1) go to 99
if(ickse(n).eq.1) go to 99
c
c
call madt1(array(nstart(np)),rvar,nord,n,i4seed,wk)
c
c
lab='moving average process'
call ckadda(vname,n,lab,1,iref)
c
c
99 continue
return
end
c&MADT1
SUBROUTINE MADT1(BETA,rvar,NQ,N,dseed,x)
C*******************************************************
C
C SUBROUTINE TO OBTAIN A SAMPLE X(1),...,X(N) FROM A
C MOVING AVERAGE PROCESS OF ORDER NQ WITH PARAMETERS
C BETA(1),...,BETA(NQ), AND rvar (RES VAR)
C
C INPUT :
C N,NQ,BETA(1),...,BETA(NQ),rvar
C dseed : integer*4 SEED FOR WHTSIM
C
C OUTPUT :
C X(1),...,X(N)
C
C SUBROUTINES CALLED : WHTSIM,unif2
C
C*******************************************************
C
DIMENSION BETA(NQ),X(1)
integer*4 dseed
C
C SIMULATE WHITE NOISE :
C
CALL WHTSIM(N+nq,dseed,X)
sig=sqrt(rvar)
do 10 i=1,n+nq
10 x(i)=sig*x(i)
do 20 i=1,n
ii=i+nq
c=x(ii)
do 15 j=1,nq
15 c=c+beta(j)*x(ii-j)
20 x(i)=c
C
RETURN
END