TaperedCovarianceMatrix.cpp

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/********************************************************************
 *  Copyright (C) 2014 by Federico Marulli and Alfonso Veropalumbo  *
 *  federico.marulli3@unibo.it                                      *
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#include "Data.h"
#include "EigenWrapper.h"
#include "CovarianceMatrix.h"
#include "TaperedCovarianceMatrix.h"
 
using namespace std;
 
using namespace cbl;
using namespace data;
 
// ======================================================================================
 
 
void cbl::data::TaperedCovarianceMatrix::m_set_tapering(const double tapering_factor)
{
  m_tapering_factor = tapering_factor;
 
  m_tapering_function.resize(m_order, m_order);
 
  for (int i=0; i<static_cast<int>(m_order); i++)
    for (int j=0; j<static_cast<int>(m_order); j++) {
      double xx = abs(i-j);
      if (xx<m_tapering_factor)
    m_tapering_function(i, j) = pow(1-xx/m_tapering_factor, 4)*(4*xx/m_tapering_factor+1);
      else
    m_tapering_function(i, j) = 0;
    }
}
 
 
// ======================================================================================
 
 
void cbl::data::TaperedCovarianceMatrix::m_set (const vector<double> covariance, const double nmeasures, const double prec)
{
  (void)prec;
 
  m_hartlap_factor = hartlap_factor(m_order, nmeasures);
 
  m_matrix = cbl::wrapper::eigen::SquareMatrixToEigen(covariance).cwiseProduct(m_tapering_function);
 
  m_precision = m_matrix.inverse().cwiseProduct(m_tapering_function);
  
  m_variance = m_matrix.diagonal();
  
  m_std = m_variance.cwiseSqrt();
 
  m_correlation = m_matrix.cwiseQuotient((m_std * m_std.transpose()));
}
 
 
// ======================================================================================
 
 
void cbl::data::TaperedCovarianceMatrix::set(const double tapering_factor, const cbl::data::CovarianceMatrix covariance)
{
  m_order = covariance.order();
  m_set_tapering(tapering_factor);
  m_set(flatten(covariance()));
}