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author | Benjamin Franzke <benjaminfranzke@googlemail.com> | 2012-05-12 20:06:31 +0200 |
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committer | Benjamin Franzke <benjaminfranzke@googlemail.com> | 2012-05-12 20:06:31 +0200 |
commit | 6ab709531700c64dee835b2662bbd59e558628c8 (patch) | |
tree | 9d28bc985278b86b9ee4606198c63dde4ee5b860 /regress_interval_pred.m | |
parent | 19b83ed059102f369a0c84e7f2c1e06b5c9ea106 (diff) | |
download | dmc-6ab709531700c64dee835b2662bbd59e558628c8.tar.gz dmc-6ab709531700c64dee835b2662bbd59e558628c8.tar.bz2 dmc-6ab709531700c64dee835b2662bbd59e558628c8.zip |
Add a interval based regression
But its actually a very ugly prediction.
Diffstat (limited to 'regress_interval_pred.m')
-rw-r--r-- | regress_interval_pred.m | 26 |
1 files changed, 26 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 |