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comparison scripts/statistics/tests/t_test_regression.m @ 3200:781c930425fd

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[project @ 1998-10-29 05:23:08 by jwe]
author jwe
date Thu, 29 Oct 1998 05:23:09 +0000
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children eb27ea9b7ff8
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3199:9ceefd891930 3200:781c930425fd
1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
2 ##
3 ## This program is free software; you can redistribute it and/or modify
4 ## it under the terms of the GNU General Public License as published by
5 ## the Free Software Foundation; either version 2, or (at your option)
6 ## any later version.
7 ##
8 ## This program is distributed in the hope that it will be useful, but
9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
11 ## General Public License for more details.
12 ##
13 ## You should have received a copy of the GNU General Public License
14 ## along with this file. If not, write to the Free Software Foundation,
15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
16
17 ## usage: [pval, t, df] = t_test_regression (y, X, R [, r] [, alt])
18 ##
19 ## Performs an t test for the null hypothesis R * b = r in a classical
20 ## normal regression model y = X * b + e.
21 ## Under the null, the test statistic t follows a t distribution with
22 ## df degrees of freedom.
23 ##
24 ## r is taken as 0 if not given explicitly.
25 ##
26 ## With the optional argument string alt, the alternative of interest
27 ## can be selected.
28 ## If alt is "!=" or "<>", the null is tested against the two-sided
29 ## alternative R * b != r.
30 ## If alt is ">", the one-sided alternative R * b > r is used,
31 ## similarly for "<".
32 ## The default is the two-sided case.
33 ##
34 ## pval is the p-value of the test.
35 ##
36 ## If no output argument is given, the p-value of the test is displayed.
37
38 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
39 ## Description: Test one linear hypothesis in linear regression model
40
41 function [pval, t, df] = t_test_regression (y, X, R, r, alt)
42
43 if (nargin == 3)
44 r = 0;
45 alt = "!=";
46 elseif (nargin == 4)
47 if (isstr (r))
48 alt = r;
49 r = 0;
50 else
51 alt = "!=";
52 endif
53 elseif !(nargin == 5)
54 usage (["[pval, t, df] ", ...
55 "= t_test_regression (y, X, R [, r] [, alt]"]);
56 endif
57
58 if (! is_scalar (r))
59 error ("t_test_regression: r must be a scalar");
60 elseif (! isstr (alt))
61 error ("t_test_regression: alt must be a string");
62 endif
63
64 [T, k] = size (X);
65 if !(is_vector (y) && (length (y) == T))
66 error (["t_test_regression: ", ...
67 "y must be a vector of length rows (X)"]);
68 endif
69 s = size (R);
70 if !((max (s) == k) && (min (s) == 1))
71 error (["t_test_regression: ", ...
72 "R must be a vector of length columns (X)"]);
73 endif
74
75 R = reshape (R, 1, k);
76 y = reshape (y, T, 1);
77 [b, v] = ols (y, X);
78 df = T - k;
79 t = (R * b - r) / sqrt (v * R * inv (X' * X) * R');
80 cdf = t_cdf (t, df);
81
82 if (strcmp (alt, "!=") || strcmp (alt, "<>"))
83 pval = 2 * min (cdf, 1 - cdf);
84 elseif strcmp (alt, ">")
85 pval = 1 - cdf;
86 elseif strcmp (alt, "<")
87 pval = cdf;
88 else
89 error (["t_test_regression: ", ...
90 sprintf ("the value %s for alt is not possible", alt)]);
91 endif
92
93 if (nargout == 0)
94 printf ("pval: %g\n", pval);
95 endif
96
97 endfunction