update packages

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

diff --git a/octave_packages/m/statistics/tests/t_test_regression.m b/octave_packages/m/statistics/tests/t_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{t}, @var{df}] =} t_test_regression (@var{y}, @var{x}, @var{rr}, @var{r}, @var{alt})
+## Perform an t test for the null hypothesis @code{@var{rr} * @var{b} =
+## @var{r}} in a classical normal regression model @code{@var{y} =
+## @var{x} * @var{b} + @var{e}}.  Under the null, the test statistic @var{t}
+## follows a @var{t} distribution with @var{df} degrees of freedom.
+##
+## If @var{r} is omitted, a value of 0 is assumed.
+##
+## With the optional argument string @var{alt}, the alternative of
+## interest can be selected.  If @var{alt} is @code{"!="} or
+## @code{"<>"}, the null is tested against the two-sided alternative
+## @code{@var{rr} * @var{b} != @var{r}}.  If @var{alt} is @code{">"}, the
+## one-sided alternative @code{@var{rr} * @var{b} > @var{r}} is used.
+## Similarly for @var{"<"}, the one-sided alternative @code{@var{rr} *
+## @var{b} < @var{r}} is used.  The default is the two-sided case.
+##
+## The p-value of the test is returned in @var{pval}.
+##
+## If no output argument is given, the p-value of the test is displayed.
+## @end deftypefn
+
+## Author: KH <Kurt.Hornik@wu-wien.ac.at>
+## Description: Test one linear hypothesis in linear regression model
+
+function [pval, t, df] = t_test_regression (y, x, rr, r, alt)
+
+  if (nargin == 3)
+    r   = 0;
+    alt = "!=";
+  elseif (nargin == 4)
+    if (ischar (r))
+      alt = r;
+      r   = 0;
+    else
+      alt = "!=";
+    endif
+  elseif (! (nargin == 5))
+    print_usage ();
+  endif
+
+  if (! isscalar (r))
+    error ("t_test_regression: R must be a scalar");
+  elseif (! ischar (alt))
+    error ("t_test_regression: ALT must be a string");
+  endif
+
+  [T, k] = size (x);
+  if (! (isvector (y) && (length (y) == T)))
+    error ("t_test_regression: Y must be a vector of length rows (X)");
+  endif
+  s      = size (rr);
+  if (! ((max (s) == k) && (min (s) == 1)))
+    error ("t_test_regression: RR must be a vector of length columns (X)");
+  endif
+
+  rr     = reshape (rr, 1, k);
+  y      = reshape (y, T, 1);
+  [b, v] = ols (y, x);
+  df     = T - k;
+  t      = (rr * b - r) / sqrt (v * rr * inv (x' * x) * rr');
+  cdf    = tcdf (t, df);
+
+  if (strcmp (alt, "!=") || strcmp (alt, "<>"))
+    pval = 2 * min (cdf, 1 - cdf);
+  elseif strcmp (alt, ">")
+    pval = 1 - cdf;
+  elseif strcmp (alt, "<")
+    pval = cdf;
+  else
+    error ("t_test_regression: the value `%s' for alt is not possible", alt);
+  endif
+
+  if (nargout == 0)
+    printf ("pval: %g\n", pval);
+  endif
+
+endfunction