Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/econometrics-1.0.8/unscale_parameters.m b/octave_packages/econometrics-1.0.8/unscale_parameters.m
new file mode 100644 (file)
index 0000000..0fcc16f
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/unscale_parameters.m
@@ -0,0 +1,39 @@
+# Copyright (C) 2003,2004  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/>.
+
+# Unscales parameters that were estimated using scaled data
+# primarily for use by BFGS
+function [theta_us, vartheta_us] = unscale_parameters(theta, vartheta, scalecoefs);
+       k = rows(theta);
+       A = scalecoefs {1};
+       b = scalecoefs {2};
+       
+       kk = rows(b);
+       B = zeros(kk-1,kk);
+       B = [b'; B];
+       
+       C = A + B;
+       
+       # allow for parameters that aren't associated with x
+       if (k > kk)
+               D = zeros(kk, k - kk);
+               C = [C, D; D', eye(k - kk)];
+       endif;  
+       
+       
+       
+       theta_us = C*theta;
+       vartheta_us = C * vartheta * C';
+endfunction