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Sourcecode: octave-econometrics version File versions  Download package

scale_data.m

# Copyright (C) 2003,2004  Michael Creel <michael.creel@uab.es>
#
# This program is free software; you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation; either version 2 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program; If not, see <http://www.gnu.org/licenses/>.

# Standardizes and normalizes data matrix,
# primarily for use by BFGS

function [zz, scalecoefs] = scale_data(z);

      n = rows(z);
      k = columns(z);

      # Scale data
      s = std(z)';
      test = s != 0;
      s = s + (1 - test); # don't scale if column is a constant (avoid div by zero)
      A = diag(1 ./ s);

      # De-mean all variables except constant, if a constant is present
      test = std(z(:,1)) != 0;
      if test
            bb = zeros(n,k);
            b = zeros(k,1);
      else
            b = -mean(z)';
            test = std(z)' != 0;
            # don't take out mean if the column is a constant, to preserve identification
            b = b .* test;
            b = A*b;
            bb = dmult(b, ones(k,n))';
      endif
      zz = z*A + bb;
      scalecoefs = {A,b};
endfunction

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