temporal.py 文件源码

def make_G_matrix(T,g):
    ''' create matrix of autoregression to enforce indicator dynamics
    Inputs: 
    T: positive integer
        number of time-bins
    g: nd.array, vector p x 1
        Discrete time constants

    Output:
    G: sparse diagonal matrix
        Matrix of autoregression
    '''    
    if type(g) is np.ndarray:    
        if len(g) == 1 and g < 0:
            g=0

#        gs=np.matrix(np.hstack((-np.flipud(g[:]).T,1)))
        gs=np.matrix(np.hstack((1,-(g[:]).T)))
        ones_=np.matrix(np.ones((T,1)))
        G = spdiags((ones_*gs).T,range(0,-len(g)-1,-1),T,T)    

        return G
    else:
        raise Exception('g must be an array')
#%%