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| author | Benjamin Franzke <benjaminfranzke@googlemail.com> | 2012-05-11 10:43:31 +0200 |
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| committer | Benjamin Franzke <benjaminfranzke@googlemail.com> | 2012-05-11 10:43:31 +0200 |
| commit | f2a79a62c010a4a960c4456d50c69d604fd7ee08 (patch) | |
| tree | be1de0af96a0894724c6735d5341d8d13bdaa301 /regress_frequency_removal.m | |
| parent | d3da2ff2b58681f57ae83c3937870ebdc8eca71e (diff) | |
| download | dmc-f2a79a62c010a4a960c4456d50c69d604fd7ee08.tar.gz dmc-f2a79a62c010a4a960c4456d50c69d604fd7ee08.tar.bz2 dmc-f2a79a62c010a4a960c4456d50c69d604fd7ee08.zip | |
Move frequency removal regression into its own function
Diffstat (limited to 'regress_frequency_removal.m')
| -rw-r--r-- | regress_frequency_removal.m | 15 |
1 files changed, 15 insertions, 0 deletions
diff --git a/regress_frequency_removal.m b/regress_frequency_removal.m new file mode 100644 index 0000000..bd6a343 --- /dev/null +++ b/regress_frequency_removal.m @@ -0,0 +1,15 @@ +function pred = regress_frequency_removal(price, quantity) + + assert(size(quantity, 1) >= 14); + %test_count = size(quantity, 1); + test_count = 14; + test_set = 1:test_count + pred_set = size(quantity, 1)+1:size(price, 1) + + [q2, removed] = remove_sevenday_frequency(quantity(test_set, :)); + pred = regress_pred(price([test_set pred_set],:), q2); + pred = fft(pred); + %pred = (pred .* (removed == 0)) + removed; + pred = pred + removed; + pred = real(ifft(pred)); +endfunction |