Mercurial > hg > octave-nkf

annotate scripts/signal/autoreg_matrix.m @ 14271:e2a14d1b4eaa

Find changesets by keywords (author, files, the commit message), revision number or hash, or revset expression.
rgbplot.m: Add new Matlab compatible function for plotting colormaps * NEWS: Add section for 3.8 release and list of new functions. * image.txi: Add rgbplot to documentation. * scripts/image/module.mk: Add rgbplot to build system. * rgbplot.m: Added new function.
author Rik <octave@nomad.inbox5.com>
date Fri, 27 Jan 2012 19:09:02 -0800
parents 72c96de7a403
children f3d52523cde1
Ignore whitespace changes - Everywhere: Within whitespace: At end of lines:
rev   line source
14138
72c96de7a403 maint: update copyright notices for 2012
John W. Eaton <jwe@octave.org>
parents: 12831
diff changeset
1 ## Copyright (C) 1995-2012 Kurt Hornik
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
2 ##
3922
38c61cbf086c [project @ 2002-05-01 06:48:35 by jwe]
jwe
parents: 3457
diff changeset
3 ## This file is part of Octave.
38c61cbf086c [project @ 2002-05-01 06:48:35 by jwe]
jwe
parents: 3457
diff changeset
4 ##
38c61cbf086c [project @ 2002-05-01 06:48:35 by jwe]
jwe
parents: 3457
diff changeset
5 ## Octave is free software; you can redistribute it and/or modify it
38c61cbf086c [project @ 2002-05-01 06:48:35 by jwe]
jwe
parents: 3457
diff changeset
6 ## under the terms of the GNU General Public License as published by
7016
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe]
jwe
parents: 6547
diff changeset
7 ## the Free Software Foundation; either version 3 of the License, or (at
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe]
jwe
parents: 6547
diff changeset
8 ## your option) any later version.
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
9 ##
3922
38c61cbf086c [project @ 2002-05-01 06:48:35 by jwe]
jwe
parents: 3457
diff changeset
10 ## Octave is distributed in the hope that it will be useful, but
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
13 ## General Public License for more details.
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
14 ##
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
15 ## You should have received a copy of the GNU General Public License
7016
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe]
jwe
parents: 6547
diff changeset
16 ## along with Octave; see the file COPYING. If not, see
93c65f2a5668 [project @ 2007-10-12 06:40:56 by jwe]
jwe
parents: 6547
diff changeset
17 ## <http://www.gnu.org/licenses/>.
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
18
3449
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
19 ## -*- texinfo -*-
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
20 ## @deftypefn {Function File} {} autoreg_matrix (@var{y}, @var{k})
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
21 ## Given a time series (vector) @var{y}, return a matrix with ones in the
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
22 ## first column and the first @var{k} lagged values of @var{y} in the
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
23 ## other columns. I.e., for @var{t} > @var{k}, @code{[1,
6547
4fb053f24fd6 [project @ 2007-04-19 21:47:40 by jwe]
jwe
parents: 6046
diff changeset
24 ## @var{y}(@var{t}-1), @dots{}, @var{y}(@var{t}-@var{k})]} is the t-th row
3449
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
25 ## of the result. The resulting matrix may be used as a regressor matrix
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
26 ## in autoregressions.
858695b3ed62 [project @ 2000-01-18 04:08:59 by jwe]
jwe
parents: 3426
diff changeset
27 ## @end deftypefn
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
28
5428
2a16423e4aa0 [project @ 2005-08-23 18:38:27 by jwe]
jwe
parents: 5307
diff changeset
29 ## Author: KH <Kurt.Hornik@wu-wien.ac.at>
3457
e031284eea27 [project @ 2000-01-19 08:49:56 by jwe]
jwe
parents: 3449
diff changeset
30 ## Description: Design matrix for autoregressions
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
31
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
32 function X = autoreg_matrix (y, k)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
33
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
34 if (nargin != 2)
6046
34f96dd5441b [project @ 2006-10-10 16:10:25 by jwe]
jwe
parents: 5428
diff changeset
35 print_usage ();
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
36 endif
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
37
4030
22bd65326ec1 [project @ 2002-08-09 18:58:13 by jwe]
jwe
parents: 3922
diff changeset
38 if (! (isvector (y)))
11472
1740012184f9 Use uppercase for variable names in error() strings to match Info documentation. Only m-files done.
Rik <octave@nomad.inbox5.com>
parents: 7017
diff changeset
39 error ("autoreg_matrix: Y must be a vector");
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
40 endif
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
41
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
42 T = length (y);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
43 y = reshape (y, T, 1);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
44 X = ones (T, k+1);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
45 for j = 1 : k;
3273
eb27ea9b7ff8 [project @ 1999-10-12 02:22:25 by jwe]
jwe
parents: 3191
diff changeset
46 X(:, j+1) = [(zeros (j, 1)); y(1:T-j)];
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
47 endfor
3426
f8dde1807dee [project @ 2000-01-13 08:40:00 by jwe]
jwe
parents: 3273
diff changeset
48
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
49 endfunction
12831
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
50
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
51
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
52 %!test
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
53 %! K=4;
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
54 %! A = zeros(1,K+1);
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
55 %! A(1) = 1;
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
56 %! B = eye(K+1);
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
57 %! B(:,1) = 1;
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
58 %! assert (autoreg_matrix(A,K),B);
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
59
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
60 %!error autoreg_matrix()
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
61 %!error autoreg_matrix(1)
05a6e27d7908 codesprint: Wrote 4 tests for autoreg_matrix.m
Andriy Shinkarchuck <adriano32.gnu@gmail.com>
parents: 11523
diff changeset
62 %!error autoreg_matrix(ones(4,1),5)