update packages

[CreaPhase.git] / octave_packages / m / statistics / tests / f_test_regression.m

diff --git a/octave_packages/m/statistics/tests/f_test_regression.m b/octave_packages/m/statistics/tests/f_test_regression.m
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+## Copyright (C) 1995-2012 Kurt Hornik
+##
+## 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{pval}, @var{f}, @var{df_num}, @var{df_den}] =} f_test_regression (@var{y}, @var{x}, @var{rr}, @var{r})
+## Perform an F test for the null hypothesis rr * b = r in a classical
+## normal regression model y = X * b + e.
+##
+## Under the null, the test statistic @var{f} follows an F distribution
+## with @var{df_num} and @var{df_den} degrees of freedom.
+##
+## The p-value (1 minus the CDF of this distribution at @var{f}) is
+## returned in @var{pval}.
+##
+## If not given explicitly, @var{r} = 0.
+##
+## If no output argument is given, the p-value is displayed.
+## @end deftypefn
+
+## Author: KH <Kurt.Hornik@wu-wien.ac.at>
+## Description: Test linear hypotheses in linear regression model
+
+function [pval, f, df_num, df_den] = f_test_regression (y, x, rr, r)
+
+  if (nargin < 3 || nargin > 4)
+    print_usage ();
+  endif
+
+  [T, k] = size (x);
+  if (! (isvector (y) && (length (y) == T)))
+    error ("f_test_regression: Y must be a vector of length rows (X)");
+  endif
+  y = reshape (y, T, 1);
+
+  [q, c_R ] = size (rr);
+  if (c_R != k)
+    error ("f_test_regression: RR must have as many columns as X");
+  endif
+
+  if (nargin == 4)
+    s_r = size (r);
+    if ((min (s_r) != 1) || (max (s_r) != q))
+      error ("f_test_regression: R must be a vector of length rows (RR)");
+    endif
+    r = reshape (r, q, 1);
+  else
+    r = zeros (q, 1);
+  endif
+
+  df_num = q;
+  df_den = T - k;
+
+  [b, v] = ols (y, x);
+  diff   = rr * b - r;
+  f      = diff' * inv (rr * inv (x' * x) * rr') * diff / (q * v);
+  pval  = 1 - fcdf (f, df_num, df_den);
+
+  if (nargout == 0)
+    printf ("  pval: %g\n", pval);
+  endif
+
+endfunction