Add a interval based regression

But its actually a very ugly prediction.

2 files changed, 27 insertions, 0 deletions

diff --git a/regress_interval_pred.m b/regress_interval_pred.m
new file mode 100644
index 0000000..035bbb4
--- /dev/null
+++ b/regress_interval_pred.m
@@ -0,0 +1,26 @@
+function pred = regress_interval_pred(price, quantity, interval)
+	assert(mod(size(price,  1),   interval) == 0);
+	assert(mod(size(quantity, 1), interval) == 0);
+
+	days = size(price, 1) - size(quantity, 1);
+	product_count = size(price, 2);
+	test_count = size(quantity, 1);
+
+	test_interval_count = size(quantity, 1) / interval;
+	pred_interval_count = days / interval;
+	test_base = [0:test_interval_count-1] * interval;
+	pred_base = [0:pred_interval_count-1] * interval;
+
+	pred = zeros(days, product_count);
+	for i = 1:product_count
+		for j = 1:interval
+			test_set = test_base + j;
+			pred_set = pred_base + j;
+
+			regress_quad = @(x, y) [ log(x) x.^0 ] \ y;
+			abc = regress_quad(price(test_set, i), quantity(test_set, i));
+			pred(pred_set, i) = polyval(abc, log(price(test_count+pred_set, i)));
+		end
+	end
+
+endfunction
diff --git a/run_tests.m b/run_tests.m
index e33f19b..71bd07e 100644
--- a/run_tests.m
+++ b/run_tests.m
@@ -17,6 +17,7 @@ pred_methods = [
 %	m('norm rand.',@rand_pred)
 %	m('chi rand.',@chi_pred)
 	m('regress2', @regress_frequency_removal)
+%	m('reg 7day', @(p,q) regress_interval_pred(p, q, 7))
 ];
 num_methods = size(pred_methods, 1);