Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / optim-1.2.0 / private / __covd_wls__.m

diff --git a/octave_packages/optim-1.2.0/private/__covd_wls__.m b/octave_packages/optim-1.2.0/private/__covd_wls__.m
new file mode 100644 (file)
index 0000000..019b63e
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+++ b/octave_packages/optim-1.2.0/private/__covd_wls__.m
@@ -0,0 +1,32 @@
+## Copyright (C) 2011 Olaf Till <olaf.till@uni-jena.de>
+##
+## 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 3 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/>.
+
+function hook = __covd_wls__ (hook)
+
+  m = hook.nm;
+  n = hook.np;
+
+  if (m <= n)
+    error ("guessing covariance-matrix of residuals for weighted least squares requires at least one more residual than free parameters");
+  endif
+
+  w = hook.weights(:);
+  res = hook.residuals(:);
+
+  w2 = w .^ 2;
+
+  hook.covd = diag (res.' * diag (w2) * res / (m - n) ./ w2);
+
+endfunction