Revision ade4b694b3f416d6b195ddcd584d6f89ef36ea2f authored by M. Helena Gon\xe7alves on 28 January 2012, 00:00:00 UTC, committed by Gabor Csardi on 28 January 2012, 00:00:00 UTC
1 parent 8cb2c8d
deriv.f
``````
C devivatives of p(t,t-1|j), i.e. prob{Y(t)=1|y(t-1)=j}
C wr to theta(t), theta(t-1), psi
C t=3
subroutine deriv(theta,psi,t,j,der)
implicit double precision (a-h,o-z)
integer t,j,j1
dimension theta(t),der(3)
th = theta(t)
th1 = theta(t-1)
ps1 = psi-1
if(dabs(ps1) .gt. 1.0e-6) then
j1 = 2*j-1
delta=dsqrt(1+ps1*(psi*(th-th1)**2-(th+th1)**2+2*(th+th1)))
dth=ps1*(psi*(th-th1)-(th+th1)+1)/delta
dth1=ps1*(-psi*(th-th1)-(th+th1)+1)/delta
dpsi=((2*psi-1)*(th-th1)**2-(th+th1)**2+2*(th+th1))/
*  (2*delta)
A=(2*ps1*(1-j+j1*th1))
B=(1-delta+ps1*th1)*j1+th*ps1
dpth=(-j1*dth+ps1)/A
dpth1=(j1*(ps1-dth1)*A-2*ps1*j1*B)/A**2
dppsi=((j1*(-dpsi+th1)+th)*A-2*B*(1-j+j1*th1))/A**2
der(1)=dpth
der(2)=dpth1
der(3)=dppsi
else
der(1)=1
der(2)=0
der(3)=(th1-j)*(th**2-th)
end if
return
end
``````

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