/* nag_tsa_varma_update (g13dkc) Example Program.
 *
 * Copyright 2005 Numerical Algorithms Group.
 *
 * Mark 8, 2004.
 */

#include <stdio.h>
#include <nag.h>
#include <nag_stdlib.h>
#include <nagg13.h>

static void fprint(Integer k, Integer nm, Integer lmax, double predz[],
                   double sefz[], Integer ik);

int main(void)
{
  /* Scalars */
  double cgetol, rlogl;
  Integer exit_status, i, icm, idmax, idmin, ik, ip, iprint, iq, ishow, j, k;
  Integer lmax, npar, lref, m, maxcal, mlast, n, nd, niter, nm;
  Nag_Boolean exact;
  Nag_IncludeMean mean;
  char meanc;

  /* Arrays */
  const char *outfile = 0;
  double *cm = 0, *delta = 0, *g = 0, *par = 0, *predz = 0, *qq = 0, *ref = 0;
  double *sefz = 0, *v = 0, *w = 0, *z = 0;
  Integer *id = 0, *tr = 0;
  /* Nag types */
  Nag_Boolean *parhld = 0;
  NagError fail;

#define DELTA(I,J) delta[(J - 1) * ik + I - 1]
#define QQ(I,J) qq[(J - 1) * ik + I - 1]
#define Z(I,J) z[(J - 1) * ik + I - 1]

  Vprintf("nag_tsa_varma_update (g13dkc) Example Program Results\n");

  INIT_FAIL(fail);
  exit_status = 0;

  /* Skip heading in data file */
  Vscanf("%*[^\n] ");
  Vscanf("%ld%ld%ld%ld %c %ld%*[^\n]",
         &k, &n, &ip, &iq, &meanc, &lmax);

  npar = (ip + iq) * k * k;
  mean = Nag_MeanZero;
  if (meanc == 'M' || meanc == 'm')
    {
      npar += k;
      mean = Nag_MeanInclude;
    }

  if (k > 0 && n >= 1 && npar >= 1 && lmax >= 1)
    {
      ik = k;
      icm = npar;
      lref = (lmax - 1) * k * k + 2 * k * lmax + k;
      /* Allocate memory */
      if ( !(tr = NAG_ALLOC(k, Integer)) ||
           !(cm = NAG_ALLOC(npar * icm, double)) ||
           !(g = NAG_ALLOC(npar, double)) ||
           !(par = NAG_ALLOC(npar, double)) ||
           !(predz = NAG_ALLOC(lmax * ik, double)) ||
           !(qq = NAG_ALLOC(k * ik, double)) ||
           !(ref = NAG_ALLOC(lref, double)) ||
           !(sefz = NAG_ALLOC(lmax * ik, double)) ||
           !(v = NAG_ALLOC(n * ik, double)) ||
           !(w = NAG_ALLOC(n * ik, double)) ||
           !(z = NAG_ALLOC(n * ik, double)) ||
           !(id = NAG_ALLOC(k, Integer)) ||
           !(parhld = NAG_ALLOC(npar, Nag_Boolean)) )
        {
          Vprintf("Allocation failure\n");
          exit_status = -1;
          goto END;
        }
    }
  else
    {
      Vprintf("Invalid parameters\n");
      exit_status = -1;
      goto END;
    }

  for (i = 1; i <= k; ++i)
    {
      Vscanf("%"NAG_IFMT, &id[i-1]);
    }
  Vscanf("%*[^\n]");

  idmax = 0;
  idmin = 0;
  for (i = 1; i <= k; ++i)
    {
      idmin = MIN(id[i-1], idmin);
      idmax = MAX(id[i-1], idmax);
    }
  if (idmin >= 0)
    {
      if ( !(delta = NAG_ALLOC(k * idmax, double))  )
        {
          Vprintf("Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      for (i = 1; i <= k; ++i)
        {
          for (j = 1; j <= n; ++j)
            {
              Vscanf("%lf", &Z(i,j));
            }
        }
      Vscanf("%*[^\n]");

      for (i = 1; i <= k; ++i)
        {
          Vscanf("%"NAG_IFMT, &tr[i - 1]);
        }
      Vscanf("%*[^\n]");

      if (idmax > 0)
        {
          for (i = 1; i <= k; ++i)
            {
              for (j = 1; j <= id[i-1]; ++j)
                {
                  Vscanf("%lf", &DELTA(i,j));
                }
              Vscanf("%*[^\n] ");
            }
        }

      /* nag_tsa_multi_diff (g13dlc).
       * Multivariate time series, differences and/or transforms
       */
      nag_tsa_multi_diff(k, n, z, tr, id, delta, w, &nd, &fail);
      if (fail.code != NE_NOERROR)
        {
          Vprintf("Error from nag_tsa_multi_diff (g13dlc).\n%s\n",
                  fail.message);
          exit_status = 1;
          goto END;
        }

      for (i = 1; i <= npar; ++i)
        {
          par[i-1] = 0.0;
          parhld[i-1] = Nag_FALSE;
        }
      for (j = 1; j <= k; ++j)
        {
          for (i = j; i <= k; ++i)
            {
              QQ(i, j) = 0.0;
            }
        }
      parhld[2] = Nag_TRUE;
      exact = Nag_TRUE;
      /* ** Set iprint > 0 for no intermediate monitoring */
      iprint = -1;
      cgetol = 1e-4;
      maxcal = npar * 40 * (npar + 5);
      /* ** Set ishow = 0 for no results from nag_tsa_varma_estimate (g13ddc) */
      ishow = 0;

      /* nag_tsa_varma_estimate (g13ddc).
       * Multivariate time series, estimation of VARMA model
       */
      nag_tsa_varma_estimate(k, nd, ip, iq, mean, par, npar, qq, ik, w, parhld,
                             exact, iprint, cgetol, maxcal, ishow, outfile,
                             &niter, &rlogl, v, g, cm, icm, &fail);
      if (fail.code != NE_NOERROR)
        {
          Vprintf("\n nag_tsa_varma_estimate (g13ddc) message: %s\n\n",
                  fail.message);
          exit_status = 1;
          goto END;
        }

      if (fail.code == NE_NOERROR || fail.code == NE_G13D_MAXCAL ||
          fail.code == NE_G13D_MAX_LOGLIK ||
          fail.code == NE_G13D_BOUND || fail.code == NE_G13D_DERIV ||
          fail.code == NE_HESS_NOT_POS_DEF)
        {
          /* nag_tsa_varma_forecast (g13djc).
           * Multivariate time series, forecasts and their standard
           * errors
           */
          nag_tsa_varma_forecast(k, n, z, ik, tr, id, delta, ip, iq, mean, par,
                                 npar, qq, v, lmax, predz, sefz, ref, lref,
                                 &fail);
          if (fail.code != NE_NOERROR)
            {
              Vprintf("\n nag_tsa_varma_forecast (g13djc) message: %s\n\n",
                      fail.message);
              exit_status = 1;
              goto END;
            }

          fprint(k, n, lmax, predz, sefz, ik);

          m = 1;
          mlast = 0;
          Z(1, 1) = 8.1;
          Z(2, 1) = 10.2;

          /* nag_tsa_varma_update (g13dkc).
           * Multivariate time series, updates forecasts and their
           * standard errors
           */
          nag_tsa_varma_update(k, lmax, m, &mlast, z, k, ref, lref, v, predz,
                               sefz, &fail);
          if (fail.code != NE_NOERROR)
            {
              Vprintf("\n nag_tsa_varma_update (g13dkc) message: %s\n\n",
                      fail.message);
              exit_status = 1;
              goto END;
            }

          nm = n + mlast;
          fprint(k, nm, lmax, predz, sefz, ik);
          m = 1;

          /* Leave mlast unchanged from last call */
          Z(1, 1) = 8.5;
          Z(2, 1) = 10.;

          /* nag_tsa_varma_update (g13dkc), see above. */
          nag_tsa_varma_update(k, lmax, m, &mlast, z, k, ref, lref, v, predz,
                               sefz, &fail);
          if (fail.code != NE_NOERROR)
            {
              Vprintf("\n nag_tsa_varma_update (g13dkc) message: %s\n\n",
                      fail.message);
              exit_status = 1;
              goto END;
            }

          nm = n + mlast;
          fprint(k, nm, lmax, predz, sefz, ik);
        }
    }

 END:
  if (tr) NAG_FREE(tr);
  if (cm) NAG_FREE(cm);
  if (delta) NAG_FREE(delta);
  if (g) NAG_FREE(g);
  if (par) NAG_FREE(par);
  if (predz) NAG_FREE(predz);
  if (qq) NAG_FREE(qq);
  if (ref) NAG_FREE(ref);
  if (sefz) NAG_FREE(sefz);
  if (v) NAG_FREE(v);
  if (w) NAG_FREE(w);
  if (z) NAG_FREE(z);
  if (id) NAG_FREE(id);
  if (parhld) NAG_FREE(parhld);

  return exit_status;
}

static void fprint(Integer k, Integer nm, Integer lmax, double predz[],
                   double sefz[], Integer ik)
{
  /* Scalars */
  Integer i2, i, j, l, l2, loop;

#define SEFZ(I,J) sefz[(J - 1) * ik + I - 1]
#define PREDZ(I,J) predz[(J - 1) * ik + I - 1]

  Vprintf("\n");
  Vprintf("Forecast summary table\n");
  Vprintf("----------------------\n\n");
  Vprintf("Forecast origin is set at t = %4ld\n\n",nm);

  loop = lmax / 5;
  if (lmax % 5 != 0)
    {
      ++loop;
    }

  for (j = 1; j <= loop; ++j)
    {
      i2 = (j - 1) * 5;
      l2 = MIN(i2 + 5, lmax);
      Vprintf("%s%13s","Lead Time","");
      for (i = i2 + 1; i <= l2; ++i)
        {
          Vprintf("%10ld%s", i,
                  (i % 5 == 0 || i == l2 ? "\n": " "));
        }
      Vprintf("\n");

      for (i = 1; i <= k; ++i)
        {
          Vprintf("%-7s%2ld%-15s", "Series",i,": Forecast");
          for (l = i2 + 1; l <= l2; ++l)
            {
              Vprintf("%10.2f%s", PREDZ(i,l),
                      (l % 5 == 0 || l == l2 ?"\n":" "));
            }

          Vprintf("%9s%-18s", "", ": Standard Error ");
          for (l = i2 + 1; l <= l2; ++l)
            {
              Vprintf("%7.2f%s", SEFZ(i,l),
                      (l % 5 == 0 || l == l2 ? "\n":"    "));
            }
          Vprintf("\n");
        }
    }
}