Mercurial > hg > octave-lyh
diff scripts/signal/arch_fit.m @ 3426:f8dde1807dee
[project @ 2000-01-13 08:40:00 by jwe]
author | jwe |
---|---|
date | Thu, 13 Jan 2000 08:40:53 +0000 |
parents | eb27ea9b7ff8 |
children | 858695b3ed62 |
line wrap: on
line diff
--- a/scripts/signal/arch_fit.m +++ b/scripts/signal/arch_fit.m @@ -1,20 +1,20 @@ ## Copyright (C) 1995, 1996, 1997 Kurt Hornik -## +## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2, or (at your option) ## any later version. -## +## ## This program is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU -## General Public License for more details. -## +## General Public License for more details. +## ## You should have received a copy of the GNU General Public License ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. -## usage: [a, b] = arch_fit (y, X, p [, ITER [, gamma [, a0, b0]]]) +## usage: [a, b] = arch_fit (y, X, p [, ITER [, gamma [, a0, b0]]]) ## ## Fits an ARCH regression model to the time series y using the scoring ## algorithm in Engle's original ARCH paper. The model is @@ -33,7 +33,7 @@ ## The input parameters are: ## y ... time series (vector) ## X ... matrix of (ordinary) regressors or order of -## autoregression +## autoregression ## p ... order of the regression of the residual variance ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> @@ -44,7 +44,7 @@ if ((nargin < 3) || (nargin == 6) || (nargin > 7)) usage ("arch_fit (y, X, p [, ITER [, gamma [, a0, b0]]])"); endif - + if !(is_vector (y)) error ("arch_test: y must be a vector"); endif @@ -56,11 +56,11 @@ X = autoreg_matrix (y, X); elseif !(rx == T) error (["arch_test: ", ... - "either rows (X) == length (y), or X is a scalar"]); + "either rows (X) == length (y), or X is a scalar"]); endif [T, k] = size (X); - + if (nargin == 7) a = a0; b = b0; @@ -71,11 +71,11 @@ if (nargin < 5) gamma = 0.1; if (nargin < 4) - ITER = 50; + ITER = 50; endif endif endif - + esq = e.^2; Z = autoreg_matrix (esq, p); @@ -104,5 +104,5 @@ delta_a = inv (Z_tilde' * Z_tilde) * Z_tilde' * f; a = a + gamma * delta_a; endfor - + endfunction