Mercurial > octave-nkf
view scripts/signal/arch_test.m @ 18840:4a4edf0f2077 nkf-ready
fix LLVM 3.4 build (bug #41061)
* configure.ac: Call new functions OCTAVE_LLVM_RAW_FD_OSTREAM_API and
OCTAVE_LLVM_LEGACY_PASSMANAGER_API, check for Verifier.h header file
* m4/acinclude.m4 (OCTAVE_LLVM_RAW_FD_OSTREAM_API): New function to
detect correct raw_fd_ostream API
* m4/acinclude.m4 (OCTAVE_LLVM_LEGACY_PASSMANAGER_API): New function
to detect legacy passmanager API
* libinterp/corefcn/jit-util.h: Use legacy passmanager namespace if
necessary
* libinterp/corefcn/pt-jit.h (class tree_jit): Use legacy passmanager
class if necessary
* libinterp/corefcn/pt-jit.cc: Include appropriate header files
* libinterp/corefcn/pt-jit.cc (tree_jit::initialize): Use legacy
passmanager if necessary
* libinterp/corefcn/pt-jit.cc (tree_jit::optimize): Use correct API
* libinterp/corefcn/jit-typeinfo.cc: Include appropriate header file
author | Stefan Mahr <dac922@gmx.de> |
---|---|
date | Sun, 11 May 2014 02:28:33 +0200 |
parents | d63878346099 |
children | 4197fc428c7d |
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## Copyright (C) 1995-2013 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{lm}] =} arch_test (@var{y}, @var{x}, @var{p}) ## For a linear regression model ## ## @example ## y = x * b + e ## @end example ## ## @noindent ## perform a Lagrange Multiplier (LM) test of the null hypothesis of no ## conditional heteroscedascity against the alternative of CH(@var{p}). ## ## I.e., the model is ## ## @example ## y(t) = b(1) * x(t,1) + @dots{} + b(k) * x(t,k) + e(t), ## @end example ## ## @noindent ## given @var{y} up to @math{t-1} and @var{x} up to @math{t}, ## @math{e}(t) is @math{N(0, h(t))} with ## ## @example ## h(t) = v + a(1) * e(t-1)^2 + @dots{} + a(p) * e(t-p)^2, ## @end example ## ## @noindent ## and the null is @math{a(1)} == @dots{} == @math{a(p)} == 0. ## ## If the second argument is a scalar integer, @math{k}, perform the same ## test in a linear autoregression model of order @math{k}, i.e., with ## ## @example ## [1, y(t-1), @dots{}, y(t-@var{k})] ## @end example ## ## @noindent ## as the @math{t}-th row of @var{x}. ## ## Under the null, LM approximately has a chisquare distribution with ## @var{p} degrees of freedom and @var{pval} is the @math{p}-value (1 ## minus the CDF of this distribution at LM) of the test. ## ## If no output argument is given, the @math{p}-value is displayed. ## @end deftypefn ## Author: KH <Kurt.Hornik@wu-wien.ac.at> ## Description: Test for conditional heteroscedascity function [pval, lm] = arch_test (y, x, p) if (nargin != 3) error ("arch_test: 3 input arguments required"); endif if (! (isvector (y))) error ("arch_test: Y must be a vector"); endif T = length (y); y = reshape (y, T, 1); [rx, cx] = size (x); if ((rx == 1) && (cx == 1)) x = autoreg_matrix (y, x); elseif (! (rx == T)) error ("arch_test: either rows (X) == length (Y), or X is a scalar"); endif if (! (isscalar (p) && (rem (p, 1) == 0) && (p > 0))) error ("arch_test: P must be a positive integer"); endif [b, v_b, e] = ols (y, x); Z = autoreg_matrix (e.^2, p); f = e.^2 / v_b - ones (T, 1); f = Z' * f; lm = f' * inv (Z'*Z) * f / 2; pval = 1 - chi2cdf (lm, p); endfunction