diff options
| -rw-r--r-- | quad_regress_pred.m | 20 | ||||
| -rw-r--r-- | regress.m | 7 | ||||
| -rw-r--r-- | regress_frequency_removal.m | 2 | ||||
| -rw-r--r-- | regress_pred.m | 4 | ||||
| -rw-r--r-- | run_tests.m | 6 |
5 files changed, 10 insertions, 29 deletions
diff --git a/quad_regress_pred.m b/quad_regress_pred.m deleted file mode 100644 index d9e3b6e..0000000 --- a/quad_regress_pred.m +++ /dev/null @@ -1,20 +0,0 @@ -function pred = quad_regress_pred(price, quantity) - - days = size(price, 1) - size(quantity, 1); - product_count = size(price, 2); - test_count = size(quantity, 1); - test_set = 1:test_count; - pred_set = test_count+1:size(price, 1); - - pred = zeros(days, product_count); - for i = 1:product_count - abc = regress2(price(test_set, i), quantity(test_set, i)); - pred(:, i) = polyval(abc, price(pred_set, i)); - end - -endfunction - - -function abc = regress2(x, y) - abc = [ x.^2 x ones(length(x), 1) ] \ y; -endfunction @@ -1,4 +1,5 @@ -function mn = regress(x, y) - mn = [ x ones(length(x), 1) ] \ y; +function polynom = regress(x, y, degree) + pot = @(x) x.^[degree:-1:0]; + M = reshape(cell2mat(arrayfun(pot, x(:)', 'UniformOutput', false)), degree+1, [])'; + polynom = M \ y(:); endfunction - diff --git a/regress_frequency_removal.m b/regress_frequency_removal.m index 4b7624b..a60d93a 100644 --- a/regress_frequency_removal.m +++ b/regress_frequency_removal.m @@ -7,7 +7,7 @@ function pred = regress_frequency_removal(price, quantity) 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, @(x)x); + pred = regress_pred(price([test_set pred_set],:), q2, 1, @(x)x); pred = fft(pred); %pred = (pred .* (removed == 0)) + removed; pred = pred + removed; diff --git a/regress_pred.m b/regress_pred.m index 119738c..8788bee 100644 --- a/regress_pred.m +++ b/regress_pred.m @@ -1,4 +1,4 @@ -function pred = regress_pred(price, quantity, prefunc) +function pred = regress_pred(price, quantity, degree, prefunc) days = size(price, 1) - size(quantity, 1); product_count = size(price, 2); @@ -8,7 +8,7 @@ function pred = regress_pred(price, quantity, prefunc) pred = zeros(days, product_count); for i = 1:product_count - mn = regress(prefunc(price(test_set, i)), quantity(test_set, i)); + mn = regress(prefunc(price(test_set, i)), quantity(test_set, i), degree); pred(:, i) = polyval(mn, prefunc(price(pred_set, i))); end diff --git a/run_tests.m b/run_tests.m index 3ef7aeb..34a758f 100644 --- a/run_tests.m +++ b/run_tests.m @@ -10,9 +10,9 @@ real_data = q(29:42, :); m = @(n,f) struct('name', n, 'func', f ); pred_methods = [ m('mean', @mean_pred) - m('regress', @(p,q) regress_pred(p, q, @(x)x)) - m('quad', @quad_regress_pred) - m('log reg.', @(p,q) regress_pred(p, q, @log)) + m('regress', @(p,q) regress_pred(p, q, 1, @(x)x)) + m('quad', @(p,q) regress_pred(p, q, 2, @(x)x)) + m('log reg.', @(p,q) regress_pred(p, q, 1, @log)) m('sevenday', @sevenday_pred) % m('norm rand.',@rand_pred) % m('chi rand.',@chi_pred) |