Mercurial > hg > octave-nkf
annotate scripts/statistics/tests/t_test_regression.m @ 10830:b4ebfd675321
avoid static initialization disaster in dim_vector
| author | Jaroslav Hajek <highegg@gmail.com> |
|---|---|
| date | Thu, 29 Jul 2010 08:47:26 +0200 |
| parents | ec34c7acd057 |
| children | c776f063fefe |
| rev | line source |
|---|---|
| 7017 | 1 ## Copyright (C) 1995, 1996, 1997, 1998, 1999, 2000, 2002, 2005, 2006, |
| 2 ## 2007 Kurt Hornik | |
| 3426 | 3 ## |
| 3922 | 4 ## This file is part of Octave. |
| 5 ## | |
| 6 ## Octave is free software; you can redistribute it and/or modify it | |
| 7 ## under the terms of the GNU General Public License as published by | |
| 7016 | 8 ## the Free Software Foundation; either version 3 of the License, or (at |
| 9 ## your option) any later version. | |
| 3426 | 10 ## |
| 3922 | 11 ## Octave is distributed in the hope that it will be useful, but |
| 3200 | 12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 14 ## General Public License for more details. |
| 15 ## | |
| 3200 | 16 ## You should have received a copy of the GNU General Public License |
| 7016 | 17 ## along with Octave; see the file COPYING. If not, see |
| 18 ## <http://www.gnu.org/licenses/>. | |
| 3200 | 19 |
| 3454 | 20 ## -*- texinfo -*- |
| 3499 | 21 ## @deftypefn {Function File} {[@var{pval}, @var{t}, @var{df}] =} t_test_regression (@var{y}, @var{x}, @var{rr}, @var{r}, @var{alt}) |
| 22 ## Perform an t test for the null hypothesis @code{@var{rr} * @var{b} = | |
| 3454 | 23 ## @var{r}} in a classical normal regression model @code{@var{y} = |
| 3499 | 24 ## @var{x} * @var{b} + @var{e}}. Under the null, the test statistic @var{t} |
| 3454 | 25 ## follows a @var{t} distribution with @var{df} degrees of freedom. |
| 3200 | 26 ## |
| 3454 | 27 ## If @var{r} is omitted, a value of 0 is assumed. |
| 3200 | 28 ## |
| 3454 | 29 ## With the optional argument string @var{alt}, the alternative of |
| 30 ## interest can be selected. If @var{alt} is @code{"!="} or | |
| 31 ## @code{"<>"}, the null is tested against the two-sided alternative | |
| 3499 | 32 ## @code{@var{rr} * @var{b} != @var{r}}. If @var{alt} is @code{">"}, the |
| 33 ## one-sided alternative @code{@var{rr} * @var{b} > @var{r}} is used. | |
| 34 ## Similarly for @var{"<"}, the one-sided alternative @code{@var{rr} * | |
| 3457 | 35 ## @var{b} < @var{r}} is used. The default is the two-sided case. |
| 3200 | 36 ## |
| 3454 | 37 ## The p-value of the test is returned in @var{pval}. |
| 3426 | 38 ## |
| 3200 | 39 ## If no output argument is given, the p-value of the test is displayed. |
| 3454 | 40 ## @end deftypefn |
| 3200 | 41 |
| 5428 | 42 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
| 3456 | 43 ## Description: Test one linear hypothesis in linear regression model |
| 3200 | 44 |
| 45 function [pval, t, df] = t_test_regression (y, X, R, r, alt) | |
| 3426 | 46 |
| 3200 | 47 if (nargin == 3) |
| 48 r = 0; | |
| 49 alt = "!="; | |
| 50 elseif (nargin == 4) | |
| 5443 | 51 if (ischar (r)) |
| 3200 | 52 alt = r; |
| 53 r = 0; | |
| 54 else | |
| 55 alt = "!="; | |
| 56 endif | |
| 3457 | 57 elseif (! (nargin == 5)) |
| 6046 | 58 print_usage (); |
| 3200 | 59 endif |
| 3426 | 60 |
| 4030 | 61 if (! isscalar (r)) |
| 3456 | 62 error ("t_test_regression: r must be a scalar"); |
| 5443 | 63 elseif (! ischar (alt)) |
| 3456 | 64 error ("t_test_regression: alt must be a string"); |
| 3200 | 65 endif |
| 3426 | 66 |
| 3200 | 67 [T, k] = size (X); |
| 4030 | 68 if (! (isvector (y) && (length (y) == T))) |
| 3456 | 69 error ("t_test_regression: y must be a vector of length rows (X)"); |
| 3200 | 70 endif |
| 71 s = size (R); | |
| 3457 | 72 if (! ((max (s) == k) && (min (s) == 1))) |
| 3456 | 73 error ("t_test_regression: R must be a vector of length columns (X)"); |
| 3200 | 74 endif |
| 3426 | 75 |
| 3200 | 76 R = reshape (R, 1, k); |
| 77 y = reshape (y, T, 1); | |
| 78 [b, v] = ols (y, X); | |
| 79 df = T - k; | |
| 80 t = (R * b - r) / sqrt (v * R * inv (X' * X) * R'); | |
|
10606
ec34c7acd057
Replace deprecated function calls in statistics tests
Rik <octave@nomad.inbox5.com>
parents:
7017
diff
changeset
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81 cdf = tcdf (t, df); |
| 3426 | 82 |
| 3200 | 83 if (strcmp (alt, "!=") || strcmp (alt, "<>")) |
| 84 pval = 2 * min (cdf, 1 - cdf); | |
| 85 elseif strcmp (alt, ">") | |
| 86 pval = 1 - cdf; | |
| 87 elseif strcmp (alt, "<") | |
| 88 pval = cdf; | |
| 89 else | |
| 3273 | 90 error ("t_test_regression: the value `%s' for alt is not possible", alt); |
| 3200 | 91 endif |
| 3426 | 92 |
| 3200 | 93 if (nargout == 0) |
| 3456 | 94 printf ("pval: %g\n", pval); |
| 3200 | 95 endif |
| 96 | |
| 97 endfunction |