[Octave-cvsupdate] SF.net SVN: octave:[5428] trunk/octave-forge/main/econometrics/inst

[<mc...@us...>]

Revision: 5428
          http://octave.svn.sourceforge.net/octave/?rev=5428&view=rev
Author:   mcreel
Date:     2008-11-12 11:28:21 +0000 (Wed, 12 Nov 2008)

Log Message:
-----------
minor revisions to call chi2pdf instead of chisquare_pdf, and similar

Modified Paths:
--------------
    trunk/octave-forge/main/econometrics/inst/kernel_density.m
    trunk/octave-forge/main/econometrics/inst/kernel_example.m
    trunk/octave-forge/main/econometrics/inst/kernel_regression.m

Modified: trunk/octave-forge/main/econometrics/inst/kernel_density.m
===================================================================
--- trunk/octave-forge/main/econometrics/inst/kernel_density.m	2008-11-12 09:52:41 UTC (rev 5427)
+++ trunk/octave-forge/main/econometrics/inst/kernel_density.m	2008-11-12 11:28:21 UTC (rev 5428)
@@ -31,7 +31,8 @@
 #		makes a product kernel a reasonable choice.
 #	do_cv: bool (optional). default false. If true, calculate leave-1-out
 #		 density for cross validation
-#	computenodes: int (optional, default 0). Number of compute nodes for parallel evaluation
+#	computenodes: int (optional, default 0).
+#		Number of compute nodes for parallel evaluation
 #	debug: bool (optional, default false). show results on compute nodes if doing
 #		a parallel run
 # outputs:
@@ -43,9 +44,14 @@
 
 function z = kernel_density(eval_points, data, bandwidth, kernel, prewhiten, do_cv, computenodes, debug)
 
-	if nargin < 3; error("kernel_density: at least 3 arguments are required"); endif
+	if nargin < 2; error("kernel_density: at least 2 arguments are required"); endif
 
+	n = rows(data);
+	k = columns(data);
+
+
 	# set defaults for optional args
+	if (nargin < 3) bandwidth = (n ^ (-1/(4+k))); endif	# bandwidth - see Li and Racine pg. 26
 	if (nargin < 4) kernel = "__kernel_normal"; endif # what kernel?
 	if (nargin < 5) prewhiten = false; endif 	# automatic prewhitening?
 	if (nargin < 6)	do_cv = false; endif 		# ordinary or leave-1-out

Modified: trunk/octave-forge/main/econometrics/inst/kernel_example.m
===================================================================
--- trunk/octave-forge/main/econometrics/inst/kernel_example.m	2008-11-12 09:52:41 UTC (rev 5427)
+++ trunk/octave-forge/main/econometrics/inst/kernel_example.m	2008-11-12 11:28:21 UTC (rev 5428)
@@ -68,7 +68,7 @@
 printf("time for univariate kernel density example using %d data points and %d compute nodes: %f\n", n, nodes, t1);
 printf("A rough integration under the fitted univariate density is %f\n", sum(dens)*stepsize);
 figure();
-plot(grid_x, dens, ";fitted density;", grid_x, chisquare_pdf(grid_x,3), ";true density;");
+plot(grid_x, dens, ";fitted density;", grid_x, chi2pdf(grid_x,3), ";true density;");
 title("Example 2: Kernel density fit: Univariate Chi^2(3) data");
 
 ############################################################

Modified: trunk/octave-forge/main/econometrics/inst/kernel_regression.m
===================================================================
--- trunk/octave-forge/main/econometrics/inst/kernel_regression.m	2008-11-12 09:52:41 UTC (rev 5427)
+++ trunk/octave-forge/main/econometrics/inst/kernel_regression.m	2008-11-12 11:28:21 UTC (rev 5428)
@@ -20,19 +20,20 @@
 #
 # inputs:
 #	eval_points: PxK matrix of points at which to calculate the density
-#	dev_var: Nx1 vector of observations of the dependent variable
-# 	data: NxK matrix of data points
-#	bandwidth: positive scalar, the smoothing parameter. The fit
-# 		is more smooth as the bandwidth increases.
+#	depvar: Nx1 vector of observations of the dependent variable
+#	condvars: NxK matrix of data points
+#	bandwidth (optional): positive scalar, the smoothing parameter.
+#		Default is N ^ (-1/(4+K))
 #	kernel (optional): string. Name of the kernel function. Default is
 #		Gaussian kernel.
-#	prewhiten bool (optional): default false. If true, rotate data
+#	prewhiten bool (optional): default true. If true, rotate data
 # 		using Choleski decomposition of inverse of covariance,
 #		to approximate independence after the transformation, which
 #		makes a product kernel a reasonable choice.
 #	do_cv: bool (optional). default false. If true, calculate leave-1-out
-#		 density for cross validation
-#	computenodes: int (optional, default 0). Number of compute nodes for parallel evaluation
+#		 fit to calculate the cross validation score
+#	computenodes: int (optional, default 0).
+#		Number of compute nodes for parallel evaluation
 #	debug: bool (optional, default false). show results on compute nodes if doing
 #		a parallel run
 # outputs:
@@ -49,7 +50,7 @@
 	# set defaults for optional args
 	if (nargin < 4) bandwidth = (n ^ (-1/(4+k))); endif	# bandwidth - see Li and Racine pg. 66
 	if (nargin < 5) kernel = "__kernel_normal"; endif 	# what kernel?
-	if (nargin < 6) prewhiten = false; endif 		# automatic prewhitening?
+	if (nargin < 6) prewhiten = true; endif 		# automatic prewhitening?
 	if (nargin < 7)	do_cv = false; endif 			# ordinary or leave-1-out
 	if (nargin < 8)	computenodes = 0; endif			# parallel?
 	if (nargin < 9)	debug = false; endif;			# debug?
@@ -59,7 +60,7 @@
 	n = rows(depvar);
 
 	if prewhiten
-		H = bandwidth*chol(cov(convars));
+		H = bandwidth*chol(cov(condvars));
  	else
 		H = bandwidth;
 	endif


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