--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/scripts/statistics/gls.m	Mon Jan 10 20:30:01 1994 +0000
@@ -0,0 +1,67 @@
+# Copyright (C) 1993 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 2, 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, write to the Free
+# Software Foundation, 675 Mass Ave, Cambridge, MA 02139, USA.
+
+function [BETA, v, R] = gls (Y, X, O)
+  
+# usage: [BETA, v [,R]] = gls (Y, X, O)
+#
+# Generalized Least Squares (GLS) estimation for the multivariate model
+#
+#   Y = X*B + E,  mean(E) = 0,  cov(vec(E)) = (s^2)*O
+#
+# with Y ...  T x p      As usual, each row of Y and X is an observation
+#      X ...  T x k      and each column a variable.
+#      B ...  k x p
+#      E ...  T x p
+#      O ... Tp x Tp.
+#
+# BETA is the GLS estimator for B.
+# v is the GLS estimator for s^2.
+# R = Y - X*BETA is the matrix of GLS residuals.
+
+# Written by Teresa Twaroch (twaroch@neuro.tuwien.ac.at) May 1993.
+# Dept of Probability Theory and Statistics TU Wien, Austria.
+
+  if (nargin != 3)
+    error ("usage: [BETA, v [, R]] = gls (Y, X, O)");
+  endif
+
+  [rx, cx] = size (X);
+  [ry, cy] = size (Y);
+  if (rx != ry)
+    error ("gls: incorrect matrix dimensions");  
+  endif
+
+  O = O^(-1/2);
+  Z = kron (eye (cy), X);
+  Z = O * Z;
+  Y1 = O * reshape (Y, ry*cy, 1);
+  U = Z' * Z;
+  r = rank (U);
+
+  if (r == cx*cy)
+    B = inv (U) * Z' * Y1;
+  else
+    B = pinv (Z) * Y1;
+  endif
+
+  BETA = reshape (B, cx, cy);
+  R = Y - X * BETA;
+  v = (reshape (R, ry*cy, 1))' * (O^2) * reshape (R, ry*cy, 1) / (rx*cy - r);
+
+endfunction