/* nag_tsa_varma_forecast (g13djc) Example Program.
 *
 * Copyright 2005 Numerical Algorithms Group.
 *
 * Mark 8, 2004.
 */

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

int main(void)
{
  /* Scalars */
  double          cgetol, rlogl;
  Integer         exit_status = 0, i, i2, idmax, idmin, ip, iprint, iq, ishow;
  Integer         j, l2, lref, lmax, loop, maxcal, n, nd, niter, k, l, npar;
  Integer         kmax, icm;
  /* Arrays */
  double          *cm = 0, *delta = 0, *g = 0, *par = 0, *predz = 0, *qq = 0;
  double          *ref = 0, *sefz = 0, *v = 0, *w = 0, *z = 0;
  Integer         *id = 0, *tr = 0;
  char            nag_enum_arg[40];
  /* Nag types */
  Nag_Boolean     *parhld = 0;
  Nag_Boolean     exact;
  Nag_IncludeMean mean;
  NagError        fail;

#define DELTA(I, J) delta[(J - 1) * kmax + I - 1]
#define PREDZ(I, J) predz[(J - 1) * kmax + I - 1]
#define QQ(I, J)    qq[(J - 1) * kmax + I - 1]
#define SEFZ(I, J)  sefz[(J - 1) * kmax + I - 1]
#define Z(I, J)     z[(J - 1) * kmax + I - 1]

  INIT_FAIL(fail);

  printf("nag_tsa_varma_forecast (g13djc) Example Program Results\n\n");

  /* Skip heading in data file */
  scanf("%*[^\n]");
  scanf(
         "%ld%ld%ld%ld %s %ld%*[^\n]",
         &k, &n, &ip, &iq, nag_enum_arg, &lmax);
  /* nag_enum_name_to_value(x04nac).
   * Converts NAG enum member name to value
   */
  mean = (Nag_IncludeMean) nag_enum_name_to_value(nag_enum_arg);

  npar = (ip + iq) * k * k;
  if (mean == Nag_MeanInclude)
    {
      npar += k;
    }
  if (k > 0 && n >= 1 && npar >= 1 && lmax >= 1)
    {
      kmax = 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 * kmax, double)) ||
          !(qq = NAG_ALLOC(k * kmax, double)) ||
          !(ref = NAG_ALLOC(lref, double)) ||
          !(sefz = NAG_ALLOC(lmax * kmax, double)) ||
          !(v = NAG_ALLOC(n * kmax, double)) ||
          !(w = NAG_ALLOC(n * kmax, double)) ||
          !(z = NAG_ALLOC(n * kmax, double)) ||
          !(id = NAG_ALLOC(k, Integer)) ||
          !(parhld = NAG_ALLOC(npar, Nag_Boolean)))
        {
          printf("Allocation failure\n");
          exit_status = -1;
          goto END;
        }
    }
  else
    {
      printf("Invalid parameters\n");
      exit_status = -1;
      goto END;
    }

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

  idmin = 0;
  idmax = 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)))
        {
          printf("Allocation failure\n");
          exit_status = -1;
          goto END;
        }
      for (i = 1; i <= k; ++i)
        {
          for (j = 1; j <= n; ++j)
            {
              scanf("%lf ", &Z(i, j));
            }
        }
      scanf("%*[^\n]");

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

      if (idmax > 0)
        {
          for (i = 1; i <= k; ++i)
            {
              for (j = 1; j <= id[i-1]; ++j)
                {
                  scanf("%lf", &DELTA(i, j));
                }
              scanf("%*[^\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)
        {
          printf("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 (i = 1; i <= k; ++i)
        {
          for (j = 1; j <= i; ++j)
            {
              QQ(i, j) = 0.0;
            }
        }
      parhld[2] = Nag_TRUE;
      exact = Nag_TRUE;
      /* ** Set iprint < 0 for no monitoring */
      iprint = -1;
      cgetol = 1.0e-4;
      maxcal = npar * 40 * (npar + 5);
      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, kmax, w,
                             parhld, exact, iprint, cgetol, maxcal, ishow,
                             0, &niter, &rlogl, v, g, cm, icm, &fail);
      if (fail.code != NE_NOERROR)
        {
          printf("\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_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, kmax, tr, id, delta, ip, iq, mean,
                                 par, npar, qq, v, lmax, predz, sefz, ref,
                                 lref, &fail);
          if (fail.code != NE_NOERROR)
            {
              printf(
                      "\n nag_tsa_varma_forecast (g13djc) message: %s\n\n",
                      fail.message);
              exit_status = 1;
              goto END;
            }

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

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

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

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

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

 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;
}