Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/kernel_optimal_bandwidth.m b/octave_packages/econometrics-1.0.8/kernel_optimal_bandwidth.m
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+++ b/octave_packages/econometrics-1.0.8/kernel_optimal_bandwidth.m
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+# Copyright (C) 2007 Michael Creel <michael.creel@uab.es>
+#
+# 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 of the License, 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.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+# kernel_optimal_bandwidth: find optimal bandwith doing leave-one-out cross validation
+# inputs:
+#      * data: data matrix
+#      * depvar: column vector or empty ("").
+#              If empty, do kernel density, orherwise, kernel regression
+#      * kernel (optional, string) the kernel function to use
+# output:
+#      * h: the optimal bandwidth
+
+function bandwidth = kernel_optimal_bandwidth(data, depvar, kernel)
+
+       if (nargin < 2) error("kernel_optimal_bandwidth: 3 arguments required"); endif
+       if (nargin < 3) kernel = "__kernel_epanechnikov"; endif
+
+       do_density = false;
+       if isempty(depvar) do_density = true; endif;
+
+       # SA controls
+       ub = 3;
+       lb = -5;
+       nt = 1;
+       ns = 1;
+       rt = 0.05;
+       maxevals = 50;
+       neps = 5;
+       functol = 1e-2;
+       paramtol = 1e-3;
+       verbosity = 0;
+       minarg = 1;
+       sa_control = { lb, ub, nt, ns, rt, maxevals, neps, functol, paramtol, verbosity, 1};
+
+       # bfgs controls
+       bfgs_control = {10};
+
+       if do_density
+               bandwidth = samin("kernel_density_cvscore", {1, data, kernel}, sa_control);
+               bandwidth = bfgsmin("kernel_density_cvscore", {bandwidth, data, kernel}, bfgs_control);
+       else
+               bandwidth = samin("kernel_regression_cvscore", {1, data, depvar, kernel}, sa_control);
+               bandwidth = bfgsmin("kernel_regression_cvscore", {bandwidth, data, depvar, kernel}, bfgs_control);
+       endif
+       bandwidth = exp(bandwidth);
+endfunction