--- /dev/null
+## Copyright (C) 1996-2012 John W. Eaton
+##
+## This file is part of Octave.
+##
+## Octave 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 3 of the License, or (at
+## your option) any later version.
+##
+## Octave 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 Octave; see the file COPYING. If not, see
+## <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {[@var{beta}, @var{sigma}, @var{r}] =} ols (@var{y}, @var{x})
+## Ordinary least squares estimation for the multivariate model
+## @tex
+## $y = x b + e$
+## with
+## $\bar{e} = 0$, and cov(vec($e$)) = kron ($s, I$)
+## @end tex
+## @ifnottex
+## @w{@math{y = x*b + e}} with
+## @math{mean (e) = 0} and @math{cov (vec (e)) = kron (s, I)}.
+## @end ifnottex
+## where
+## @tex
+## $y$ is a $t \times p$ matrix, $x$ is a $t \times k$ matrix,
+## $b$ is a $k \times p$ matrix, and $e$ is a $t \times p$ matrix.
+## @end tex
+## @ifnottex
+## @math{y} is a @math{t} by @math{p} matrix, @math{x} is a @math{t} by
+## @math{k} matrix, @math{b} is a @math{k} by @math{p} matrix, and
+## @math{e} is a @math{t} by @math{p} matrix.
+## @end ifnottex
+##
+## Each row of @var{y} and @var{x} is an observation and each column a
+## variable.
+##
+## The return values @var{beta}, @var{sigma}, and @var{r} are defined as
+## follows.
+##
+## @table @var
+## @item beta
+## The OLS estimator for @math{b}.
+## @tex
+## $beta$ is calculated directly via $(x^Tx)^{-1} x^T y$ if the matrix $x^Tx$ is
+## of full rank.
+## @end tex
+## @ifnottex
+## @var{beta} is calculated directly via @code{inv (x'*x) * x' * y} if the
+## matrix @code{x'*x} is of full rank.
+## @end ifnottex
+## Otherwise, @code{@var{beta} = pinv (@var{x}) * @var{y}} where
+## @code{pinv (@var{x})} denotes the pseudoinverse of @var{x}.
+##
+## @item sigma
+## The OLS estimator for the matrix @var{s},
+##
+## @example
+## @group
+## @var{sigma} = (@var{y}-@var{x}*@var{beta})'
+## * (@var{y}-@var{x}*@var{beta})
+## / (@var{t}-rank(@var{x}))
+## @end group
+## @end example
+##
+## @item r
+## The matrix of OLS residuals, @code{@var{r} = @var{y} - @var{x}*@var{beta}}.
+## @end table
+## @seealso{gls, pinv}
+## @end deftypefn
+
+## Author: Teresa Twaroch <twaroch@ci.tuwien.ac.at>
+## Created: May 1993
+## Adapted-By: jwe
+
+function [beta, sigma, r] = ols (y, x)
+
+ if (nargin != 2)
+ print_usage ();
+ endif
+
+ if (! (isnumeric (x) && isnumeric (y)))
+ error ("ols: X and Y must be numeric matrices or vectors");
+ endif
+
+ if (ndims (x) != 2 || ndims (y) != 2)
+ error ("ols: X and Y must be 2-D matrices or vectors");
+ endif
+
+ [nr, nc] = size (x);
+ [ry, cy] = size (y);
+ if (nr != ry)
+ error ("ols: number of rows of X and Y must be equal");
+ endif
+
+ if (isinteger (x))
+ x = double (x);
+ endif
+ if (isinteger (y))
+ y = double (y);
+ endif
+
+ ## Start of algorithm
+ z = x' * x;
+ [u, p] = chol (z);
+
+ if (p)
+ beta = pinv (x) * y;
+ else
+ beta = u \ (u' \ (x' * y));
+ endif
+
+ if (isargout (2) || isargout (3))
+ r = y - x * beta;
+ endif
+ if (isargout (2))
+
+ ## z is of full rank, avoid the SVD in rnk
+ if (p == 0)
+ rnk = columns (z);
+ else
+ rnk = rank (z);
+ endif
+
+ sigma = r' * r / (nr - rnk);
+ endif
+
+endfunction
+
+
+%!test
+%! x = [1:5]';
+%! y = 3*x + 2;
+%! x = [x, ones(5,1)];
+%! assert (ols(y,x), [3; 2], 50*eps)
+
+%!test
+%! x = [1, 2; 3, 4];
+%! y = [1; 2];
+%! [b, s, r] = ols (x, y);
+%! assert (b, [1.4, 2], 2*eps);
+%! assert (s, [0.2, 0; 0, 0], 2*eps);
+%! assert (r, [-0.4, 0; 0.2, 0], 2*eps);
+
+%!test
+%! x = [1, 2; 3, 4];
+%! y = [1; 2];
+%! [b, s] = ols (x, y);
+%! assert (b, [1.4, 2], 2*eps);
+%! assert (s, [0.2, 0; 0, 0], 2*eps);
+
+%!test
+%! x = [1, 2; 3, 4];
+%! y = [1; 2];
+%! b = ols (x, y);
+%! assert (b, [1.4, 2], 2*eps);
+
+%% Test input validation
+%!error ols ();
+%!error ols (1);
+%!error ols (1, 2, 3);
+%!error ols ([true, true], [1, 2]);
+%!error ols ([1, 2], [true, true]);
+%!error ols (ones (2,2,2), ones (2,2));
+%!error ols (ones (2,2), ones (2,2,2));
+%!error ols (ones(1,2), ones(2,2));
git://git.creatis.insa-lyon.fr / CreaPhase.git / blobdiff