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Sourcecode: octave-econometrics version File versions  Download package

unscale_parameters.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/>.

# Unscales parameters that were estimated using scaled data
# primarily for use by BFGS
function [theta_us, vartheta_us] = unscale_parameters(theta, vartheta, scalecoefs);
      k = rows(theta);
      A = nth(scalecoefs, 1);
      b = nth(scalecoefs, 2);
      
      kk = rows(b);
      B = zeros(kk-1,kk);
      B = [b'; B];
      
      C = A + B;
      
      # allow for parameters that aren't associated with x
      if (k > kk)
            D = zeros(kk, k - kk);
            C = [C, D; D', eye(k - kk)];
      endif;      
      
      
      
      theta_us = C*theta;
      vartheta_us = C * vartheta * C';
endfunction

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