annotate liboctave/cruft/ranlib/tstgmn.for @ 19627:446c46af4b42 stable

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author John W. Eaton <jwe@octave.org>
date Tue, 20 Jan 2015 08:26:57 -0500
parents 648dabbb4c6b
children
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df7c57a6639d [project @ 1998-10-15 06:02:21 by jwe]
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1 C JJV changed name to ONECOV to avoid confusion with array COVAR
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2 C JJV this was also changed in the body of the function
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3 C REAL FUNCTION covar(x,y,n)
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4 REAL FUNCTION onecov(x,y,n)
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5 C .. Scalar Arguments ..
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6 INTEGER n
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7 C ..
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8 C .. Array Arguments ..
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9 REAL x(n),y(n)
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10 C ..
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11 C .. Local Scalars ..
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12 REAL avx,avy,varx,vary,xmax,xmin
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13 INTEGER i
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14 C ..
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15 C .. External Subroutines ..
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16 EXTERNAL stat
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17 C ..
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18 C .. Intrinsic Functions ..
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19 INTRINSIC real
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20 C ..
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21 C .. Executable Statements ..
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22 CALL stat(x,n,avx,varx,xmin,xmax)
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23 CALL stat(y,n,avy,vary,xmin,xmax)
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24 C covar = 0.0
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25 onecov = 0.0
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26 DO 10,i = 1,n
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27 C covar = covar + (x(i)-avx)* (y(i)-avy)
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28 onecov = onecov + (x(i)-avx)* (y(i)-avy)
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29 10 CONTINUE
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30 C covar = covar/real(n-1)
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31 onecov = onecov/real(n-1)
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32 RETURN
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33
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34 END
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35
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36 C JJV Added argument LDXCOV (leading dimension of XCOVAR) to be
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37 C JJV consistent with the program TSTGMN, see comments below.
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38 C JJV This change necessitated changes in the declarations.
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39 C SUBROUTINE prcomp(p,mean,xcovar,answer)
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40 SUBROUTINE prcomp(p,mean,xcovar,ldxcov,answer)
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41
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42 C INTEGER p,maxp
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43 INTEGER p,maxp,ldxcov
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44 PARAMETER (maxp=10)
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45 C REAL mean(p),xcovar(p,p),rcovar(maxp,maxp)
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46 REAL mean(p),xcovar(ldxcov,p),rcovar(maxp,maxp)
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47 REAL answer(1000,maxp)
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48 C JJV added ONECOV because of name change to function COVAR
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49 C REAL rmean(maxp),rvar(maxp)
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50 REAL rmean(maxp),rvar(maxp),onecov
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51 INTEGER maxobs
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52 PARAMETER (maxobs=1000)
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53
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54 DO 10,i = 1,p
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55 CALL stat(answer(1,i),maxobs,rmean(i),rvar(i),dum1,dum2)
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56 WRITE (*,*) ' Variable Number',i
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57 WRITE (*,*) ' Mean ',mean(i),' Generated ',rmean(i)
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58 WRITE (*,*) ' Variance ',xcovar(i,i),' Generated',rvar(i)
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59 10 CONTINUE
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60 WRITE (*,*) ' Covariances'
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61 DO 30,i = 1,p
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62 DO 20,j = 1,i - 1
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63 WRITE (*,*) ' I = ',i,' J = ',j
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64 C JJV changed COVAR to match new name
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65 C rcovar(i,j) = covar(answer(1,i),answer(1,j),maxobs)
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66 rcovar(i,j) = onecov(answer(1,i),answer(1,j),maxobs)
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67 WRITE (*,*) ' Covariance ',xcovar(i,j),' Generated ',
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68 + rcovar(i,j)
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69 20 CONTINUE
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70 30 CONTINUE
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71 RETURN
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72
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73 END
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74
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75 C JJV added LDCOV (leading dimension of COVAR) to be
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76 C JJV consistent with the program TSTGMN, see comments below.
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77 C JJV This change necessitated changes in the declarations.
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78 C SUBROUTINE setcov(p,var,corr,covar)
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79 SUBROUTINE setcov(p,var,corr,covar,ldcov)
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80 C Set covariance matrix from variance and common correlation
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81 C .. Scalar Arguments ..
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82 REAL corr
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83 C INTEGER p
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84 INTEGER p,ldcov
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85 C ..
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86 C .. Array Arguments ..
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87 C REAL covar(p,p),var(p)
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88 REAL covar(ldcov,p),var(p)
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89 C ..
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90 C .. Local Scalars ..
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91 INTEGER i,j
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92 C ..
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93 C .. Intrinsic Functions ..
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94 INTRINSIC sqrt
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95 C ..
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96 C .. Executable Statements ..
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97 DO 40,i = 1,p
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98 DO 30,j = 1,p
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99 IF (.NOT. (i.EQ.j)) GO TO 10
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100 covar(i,j) = var(i)
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101 GO TO 20
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102
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103 10 covar(i,j) = corr*sqrt(var(i)*var(j))
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104 20 CONTINUE
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105 30 CONTINUE
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106 40 CONTINUE
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107 RETURN
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108
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109 END
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110
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111 SUBROUTINE stat(x,n,av,var,xmin,xmax)
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112 C .. Scalar Arguments ..
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113 REAL av,var,xmax,xmin
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114 INTEGER n
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115 C ..
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116 C .. Array Arguments ..
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117 REAL x(n)
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118 C ..
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119 C .. Local Scalars ..
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120 REAL sum
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121 INTEGER i
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122 C ..
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123 C .. Intrinsic Functions ..
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124 INTRINSIC real
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125 C ..
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126 C .. Executable Statements ..
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127 xmin = x(1)
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128 xmax = x(1)
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129 sum = 0.0
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130 DO 10,i = 1,n
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131 sum = sum + x(i)
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132 IF (x(i).LT.xmin) xmin = x(i)
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133 IF (x(i).GT.xmax) xmax = x(i)
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134 10 CONTINUE
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135 av = sum/real(n)
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136 sum = 0.0
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137 DO 20,i = 1,n
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138 sum = sum + (x(i)-av)**2
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139 20 CONTINUE
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140 var = sum/real(n-1)
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141 RETURN
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142
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143 END
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144
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145 PROGRAM tstgmn
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146 C Test Generation of Multivariate Normal Data
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147 C JJV SETGMN was: SUBROUTINE setgmn(meanv,covm,p,parm)
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148 C JJV is: SUBROUTINE setgmn(meanv,covm,ldcovm,p,parm)
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149 C JJV So the covariance matrices have been changed to 2-dim'l
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150 C JJV matrices, and the additional argument has been added to
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151 C JJV the subroutine call. Additional changes have been made
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152 C JJV to reflect this. (in declarations, the matrix copy routine,
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153 C JJV and in subroutine calls.)
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154 C .. Parameters ..
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155 INTEGER maxp
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156 PARAMETER (maxp=10)
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157 INTEGER maxobs
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158 PARAMETER (maxobs=1000)
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159 C JJV this parameter is no longer needed
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160 C INTEGER p2
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161 C PARAMETER (p2=maxp*maxp)
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162 C ..
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163 C .. Local Scalars ..
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164 REAL corr
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165 INTEGER i,iobs,is1,is2,j,p
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166 CHARACTER phrase*100
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167 C ..
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168 C .. Local Arrays ..
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169 C REAL answer(1000,maxp),ccovar(p2),covar(p2),mean(maxp),param(500),
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170 C + temp(maxp),var(maxp),work(maxp)
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171 REAL answer(1000,maxp),ccovar(maxp,maxp),covar(maxp,maxp),
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172 + mean(maxp),param(500),temp(maxp),var(maxp),work(maxp)
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173 C ..
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174 C .. External Subroutines ..
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175 EXTERNAL genmn,phrtsd,prcomp,setall,setcov,setgmn
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176 C ..
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177 C .. Executable Statements ..
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178 WRITE (*,9000)
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179
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180 9000 FORMAT (
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181 + ' Tests Multivariate Normal Generator for Up to 10 Variables'
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182 + /
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183 + ' User inputs means, variances, one correlation that is applied'
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184 + /' to all pairs of variables'/
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185 + ' 1000 multivariate normal deviates are generated'/
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186 + ' Means, variances and covariances are calculated for these.'
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187 + )
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188
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189 10 WRITE (*,*) 'Enter number of variables for normal generator'
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190 READ (*,*) p
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191 WRITE (*,*) 'Enter mean vector of length ',p
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192 READ (*,*) (mean(i),i=1,p)
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193 WRITE (*,*) 'Enter variance vector of length ',p
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194 READ (*,*) (var(i),i=1,p)
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195 WRITE (*,*) 'Enter correlation of all variables'
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196 READ (*,*) corr
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197 C CALL setcov(p,var,corr,covar)
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198 CALL setcov(p,var,corr,covar,maxp)
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199 WRITE (*,*) ' Enter phrase to initialize rn generator'
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200 READ (*,'(a)') phrase
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201 CALL phrtsd(phrase,is1,is2)
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202 CALL setall(is1,is2)
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203 C DO 20,i = 1,p2
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204 C ccovar(i) = covar(i)
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205 C 20 CONTINUE
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206 DO 25,i = 1,maxp
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207 DO 20,j = 1,maxp
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208 ccovar(i,j) = covar(i,j)
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209 20 CONTINUE
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210 25 CONTINUE
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211 C
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212 C Generate Variables
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213 C
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214 C CALL setgmn(mean,ccovar,p,param)
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215 CALL setgmn(mean,ccovar,maxp,p,param)
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216 DO 40,iobs = 1,maxobs
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217 CALL genmn(param,work,temp)
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218 DO 30,j = 1,p
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219 answer(iobs,j) = work(j)
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220 30 CONTINUE
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221 40 CONTINUE
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222 C CALL prcomp(p,mean,covar,answer)
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223 CALL prcomp(p,mean,covar,maxp,answer)
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224 C
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225 C Print Comparison of Generated and Reconstructed Values
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226 C
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227 GO TO 10
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228
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229 END