mmpp2_fit3.h File Reference

MMPP(2) matching three moments and the autocorrelation decay rate (matlab/lib/kpctoolbox/mmpp/mmpp2_fit3.m). More...

#include "line/api/mam/map_fit_detail.h"
#include "line/api/mam/map_moment.h"
#include "line/num/number.h"
#include "line/util/error.h"
#include "line/util/matrix.h"

Include dependency graph for mmpp2_fit3.h:

Go to the source code of this file.

Namespaces
namespace	line
namespace	line::mam

Functions
template<class T>
Map< T >	line::mam::mmpp2_fit3 (const T &E1, const T &E2, const T &E3, const T &G2, const T &g2tol)
	MMPP(2) with moments (E1, E2, E3) and autocorrelation decay rate G2.
template<class T>
Map< T >	line::mam::mmpp2_fit3 (const T &E1, const T &E2, const T &E3, const T &G2)
	mmpp2_fit3 with the MATLAB default g2tol = 1e-6.

Detailed Description

MMPP(2) matching three moments and the autocorrelation decay rate (matlab/lib/kpctoolbox/mmpp/mmpp2_fit3.m).

G2 is the constant ratio rho(i)/rho(i-1) of consecutive lag autocorrelations. The reference is a symbolic-toolbox solution of the moment-matching system, so the four parameters mu00, mu11, q01, q10 are single rational expressions in E1, E3, SCV and G2 over the moment discriminant. They are transcribed verbatim here, with the three repeated subexpressions named:

DISC = the discriminant polynomial under the square root, SQ = sqrt(DISC), pw(x, k) = x^k.

A vanishing G2 degenerates to an uncorrelated MAP(1)-style fit (mu11 = 0), which the reference handles with its own closed form; that branch is reproduced exactly, including the g2tol threshold below which it fires.

The resulting representation is D0 = [ -mu00-q01 q01 ; q10 -mu11-q10 ], D1 = diag(mu00, mu11).

Gated on transcendental arithmetic: SQ is a square root of a moment discriminant with no exact rational counterpart.

Definition in file mmpp2_fit3.h.