Mercurial > hg > octave-lyh
annotate scripts/statistics/tests/f_test_regression.m @ 17346:1c89599167a6
maint: End m-files with 1 blank line.
Simplifies automated grammarchecking script.
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scripts/ui/private/message_dialog.m: End m-files with 1 blank line.
| author | Rik <rik@octave.org> |
|---|---|
| date | Wed, 28 Aug 2013 08:33:02 -0700 |
| parents | a4969508008e |
| children |
| rev | line source |
|---|---|
|
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1 ## Copyright (C) 1995-2012 Kurt Hornik |
| 3426 | 2 ## |
| 3922 | 3 ## This file is part of Octave. |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 3426 | 9 ## |
| 3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
| 3200 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 13 ## General Public License for more details. |
| 14 ## | |
| 3200 | 15 ## You should have received a copy of the GNU General Public License |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 3200 | 18 |
| 3454 | 19 ## -*- texinfo -*- |
| 3499 | 20 ## @deftypefn {Function File} {[@var{pval}, @var{f}, @var{df_num}, @var{df_den}] =} f_test_regression (@var{y}, @var{x}, @var{rr}, @var{r}) |
|
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21 ## Perform an F test for the null hypothesis @nospell{rr * b = r} in a |
|
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22 ## classical normal regression model y = X * b + e. |
| 3200 | 23 ## |
| 3454 | 24 ## Under the null, the test statistic @var{f} follows an F distribution |
| 25 ## with @var{df_num} and @var{df_den} degrees of freedom. | |
| 3200 | 26 ## |
| 3454 | 27 ## The p-value (1 minus the CDF of this distribution at @var{f}) is |
| 28 ## returned in @var{pval}. | |
| 29 ## | |
| 30 ## If not given explicitly, @var{r} = 0. | |
| 3200 | 31 ## |
| 32 ## If no output argument is given, the p-value is displayed. | |
| 3454 | 33 ## @end deftypefn |
| 3200 | 34 |
| 5428 | 35 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
| 3456 | 36 ## Description: Test linear hypotheses in linear regression model |
| 3200 | 37 |
|
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38 function [pval, f, df_num, df_den] = f_test_regression (y, x, rr, r) |
| 3426 | 39 |
| 3200 | 40 if (nargin < 3 || nargin > 4) |
| 6046 | 41 print_usage (); |
| 3200 | 42 endif |
| 43 | |
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44 [T, k] = size (x); |
| 4030 | 45 if (! (isvector (y) && (length (y) == T))) |
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46 error ("f_test_regression: Y must be a vector of length rows (X)"); |
| 3200 | 47 endif |
| 48 y = reshape (y, T, 1); | |
| 3426 | 49 |
|
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50 [q, c_R ] = size (rr); |
| 3200 | 51 if (c_R != k) |
|
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52 error ("f_test_regression: RR must have as many columns as X"); |
| 3200 | 53 endif |
| 3426 | 54 |
| 3200 | 55 if (nargin == 4) |
| 56 s_r = size (r); | |
| 57 if ((min (s_r) != 1) || (max (s_r) != q)) | |
|
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58 error ("f_test_regression: R must be a vector of length rows (RR)"); |
| 3200 | 59 endif |
| 60 r = reshape (r, q, 1); | |
| 61 else | |
| 62 r = zeros (q, 1); | |
| 63 endif | |
| 64 | |
| 65 df_num = q; | |
| 66 df_den = T - k; | |
| 3426 | 67 |
|
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68 [b, v] = ols (y, x); |
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69 diff = rr * b - r; |
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70 f = diff' * inv (rr * inv (x' * x) * rr') * diff / (q * v); |
|
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71 pval = 1 - fcdf (f, df_num, df_den); |
| 3426 | 72 |
| 3200 | 73 if (nargout == 0) |
| 3456 | 74 printf (" pval: %g\n", pval); |
| 3200 | 75 endif |
| 76 | |
| 77 endfunction | |
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78 |