Documentation of predict

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Function Synopsis

[yhat,thpred]=predict(z,theta,m)

Help text

PREDICT Computes the m-step ahead prediction.
   YP = PREDICT(Z,TH,M)
   
   Z : The output - input data for which the prediction is computed.
       Z = [Y U], where Y and U are column vectors (one column for each 
       output and input)
   TH: The model in the THETA format (see also THETA).

   M : The prediction horizon. Old outputs up to time t-M are used to
       predict the output at time t. All relevant inputs are used.
       M = inf gives a pure simulation of the system.(Default M=1).
   YP: The resulting predicted output.
 
   With [YP,THPRED] = PREDICT(Z,TH,M) the predictor is returned in the
   THETA format
   See also COMPARE and IDSIM.

Cross-Reference Information

Listing of function predict

function [yhat,thpred]=predict(z,theta,m)

%   L. Ljung 10-1-89,9-9-94
%   Copyright (c) 1986-98 by The MathWorks, Inc.
%   $Revision: 2.4 $  $Date: 1997/12/02 03:42:31 $

if nargin<2
   disp('Usage: YP = PREDICT(Z,TH)')
   disp('       YP = PREDICT(Z,TH,M)')
   return
end
if nargin<3, m=1;end
if isempty(m), m=1;end
if ~isinf(m),if m<1|m~=floor(m)
   error('The prediction horizon M must by a positive integer.')
end,end
nu=theta(1,3);[Ncap,nz]=size(z);
if isinf(m),
   if nu==0,
      error(['You cannot use infinite prediction horizon for time series.'])
   else
      eval('yhat=idsim(z(:,nz-nu+1:nz),theta);');
    end
    return
 end
if isthss(theta), 
   eval('yhat=predicts(z,theta,m);')
   if nargout==2
      disp(['The predictor will not be returned for a theta-model',...
            ' that is defined via a state-space model.'])
   end
   return
end
[a,b,c,d,f]=th2poly(theta);

T=gett(theta);
if T<0
   error(['This is a continuous time model of input-output type.',...
          ' Please sample it (using thc2thd) before applying predict.'])
end

if nu>0
   ff=1;
   for ku=1:nu, 
       bt=b(ku,:);
       for kku=1:nu,if kku~=ku,bt=conv(bt,f(kku,:));end,end
       bb(ku,:)=bt;
       ff=conv(ff,f(ku,:));
   end
   a=conv(conv(a,ff),d);c=conv(c,ff);
else 
   a=conv(a,d);
end


na=length(a);nc=length(c);nn=max(na,nc);
a=[a,zeros(1,nn-na)];c=[c,zeros(1,nn-nc)];
[f,g]=deconv(conv([1 zeros(1,m-1)],c),a);
ng=length(g);

if nu>0,
   df=conv(d,f);

   for ku=1:nu
       bf(ku,:)=conv(bb(ku,:),df);
   end
   nbf=length(bf(1,:));nn=max(ng,nbf);
   gg=[[g,zeros(1,nn-ng)];[bf,zeros(nu,nn-nbf)]];
else 
   gg=g;
end
thpred=poly2th(c,gg);
yhat=idsim(z,thpred);