Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / econometrics-1.0.8 / kernel_density_cvscore.m

diff --git a/octave_packages/econometrics-1.0.8/kernel_density_cvscore.m b/octave_packages/econometrics-1.0.8/kernel_density_cvscore.m
new file mode 100644 (file)
index 0000000..c95cf3e
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/kernel_density_cvscore.m
@@ -0,0 +1,6 @@
+function cvscore = kernel_density_cvscore(bandwidth, data, kernel)
+               dens = kernel_density(data, data, exp(bandwidth), true, 0, 0, chol(cov(data)), kernel);
+               dens = dens + eps; # some kernels can assign zero density
+               cvscore = -mean(log(dens));
+endfunction
+