TMB Documentation  v1.9.1
#include <TMB.hpp>
template<class Type>
Type objective_function<Type>::operator() ()
// Load namespace which contains the multivariate distributions
using namespace density;
Type res; // Dummy variable to which results will be asigned
// Example: MVNORM_t -----------------------------------------------------------
matrix<Type> Sigma(3,3);
Sigma.fill(0.1); // Fill the whole matrix
Sigma.diagonal() *= 10.0; // Multiply diagonal by 10 to positive definite Sigma
vector<Type> x0(3); // Point of evaluation
x0.fill(0.0); // Initialize x0 to be zero
MVNORM_t<Type> N_0_Sigma(Sigma); // N_0_Sigma is now a Distribution
res = N_0_Sigma(x0); // Evaluates (neg. log) density at x
res = MVNORM(Sigma)(x0); // Shorthand form of the above two lines
N_0_Sigma.cov(); // Returns covariance matrix (Sigma in this case)
REPORT(N_0_Sigma.cov()); // Report back to R
REPORT(MVNORM_t<Type>(Sigma).cov()); // Should return the same matrix as line above
// Example: UNSTRUCTURED_CORR_t -----------------------------------------------------
// First: read docs for UNSTRUCTURED_CORR_t
vector<Type> Lx(6); // Free parameters to be estimated
vector<Type> x1(4);
res = nll(x1 );
// Example: AR1_t -----------------------------------------------------
// Univariate case
int n = 10; // Number of time steps
vector<Type> x2(n); // Evaluation point, i.e. the time series
Type phi = 0.5; // Autocorrelation
N01<Type> nllN01; // Distribution to be used at each time step
AR1_t<N01<Type> > nll2(phi,nllN01); // Create AR(1) process with N(0,1) distribution
REPORT(nll2(x2)); // Evaluate neg. log density
AR1(phi)(x2); // Equivalent to line above
// Scale variances
vector<Type> sds2(n); // Vector of standard deviations (SD)
sds2.fill(2.0); // Set SD's
REPORT(VECSCALE(nll2,sds2)(x2)); // Evaluate neg. log density
REPORT(VECSCALE(AR1(phi),sds2)(x2)); // Equivalent to line above
// Multivariate AR(1) process where the innovation vector is correlated
int p=2; // dim(x)
array<Type> x(p,n); // Evaluation point
REPORT(x); // Reported back to R so that we can see layout of x
vector<Type> unconstrained_params(p*(p-1)/2);
unconstrained_params.fill(0.01); // Low correlaiton, but this is not directly the correlation
REPORT(AR1(phi,UNSTRUCTURED_CORR(unconstrained_params))(x)); // nll
// Find nll for univariate time series.
// Do not add to nll for system of time series due to intra series correlation.
REPORT(AR1(phi)(x.transpose().col(0))); // First time series
REPORT(AR1(phi)(x.transpose().col(1))); // Second time series
return Type(0.0);
License: GPL v2