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Varying length of reqression output
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Eduard Kas
Fri, 09/07/2012 - 07:33 am
a small length of only 12 observations is assumed.
Function LocalForward(Cumulative, Length)
Wave Cumulative
Variable Length
Make/O/N=3 Scale={12,6,4}
Make/O/N=3 NumbSegments={1,2,3}
Make/O/N=(Length,3) MatrixFWSquaredResids
Variable i ,j
for (i=0; i<3; i +=1)
Variable segmlength = Scale[i]
Variable nsegments = NumbSegments[i]
Make/O/N=(Length) Xwave = mod(p, segmlength) +1
Make/O/N=(Length) FWResidsSquared
for (j=0; j<nsegments; j += 1)
CurveFit/Q Line Cumulative[j*segmlength, (j+1)*segmlength-1 ] /X=Xwave /D /R /A=0
Wave Res_Cumulative
FWResidsSquared[j*segmlength, (j+1)* segmlength-1] = Res_Cumulative[p]^2
endfor
MatrixFWSquaredResids[][i] = FWResidsSquared[p]
endfor
End
Wave Cumulative
Variable Length
Make/O/N=3 Scale={12,6,4}
Make/O/N=3 NumbSegments={1,2,3}
Make/O/N=(Length,3) MatrixFWSquaredResids
Variable i ,j
for (i=0; i<3; i +=1)
Variable segmlength = Scale[i]
Variable nsegments = NumbSegments[i]
Make/O/N=(Length) Xwave = mod(p, segmlength) +1
Make/O/N=(Length) FWResidsSquared
for (j=0; j<nsegments; j += 1)
CurveFit/Q Line Cumulative[j*segmlength, (j+1)*segmlength-1 ] /X=Xwave /D /R /A=0
Wave Res_Cumulative
FWResidsSquared[j*segmlength, (j+1)* segmlength-1] = Res_Cumulative[p]^2
endfor
MatrixFWSquaredResids[][i] = FWResidsSquared[p]
endfor
End
I run into problems when segment length times the number of segments is not equal to the length of the time series, as does happen when the segment length is 10
and the number of segments is 1 or the segment length is 3 and the number of segments is 3. See the changed code and the attached output (= MatrixSquaredResids).
Function LocalForward(Cumulative, Length)
Wave Cumulative
Variable Length
Make/O/N=5 Scale={12,10,6,4,3}
Make/O/N=5 NumbSegments={1,1,2,3,3}
Make/O/N=(Length,5) MatrixFWSquaredResids
Variable i ,j
for (i=0; i<5; i +=1)
Variable segmlength = Scale[i]
Variable nsegments = NumbSegments[i]
Make/O/N=(Length) Xwave = mod(p, segmlength) +1
Make/O/N=(Length) FWResidsSquared
for (j=0; j<nsegments; j += 1)
CurveFit/Q Line Cumulative[j*segmlength, (j+1)*segmlength-1 ] /X=Xwave /D /R /A=0
Wave Res_Cumulative
FWResidsSquared[j*segmlength, (j+1)* segmlength-1] = Res_Cumulative[p]^2
endfor
MatrixFWSquaredResids[][i] = FWResidsSquared[p]
endfor
End
Wave Cumulative
Variable Length
Make/O/N=5 Scale={12,10,6,4,3}
Make/O/N=5 NumbSegments={1,1,2,3,3}
Make/O/N=(Length,5) MatrixFWSquaredResids
Variable i ,j
for (i=0; i<5; i +=1)
Variable segmlength = Scale[i]
Variable nsegments = NumbSegments[i]
Make/O/N=(Length) Xwave = mod(p, segmlength) +1
Make/O/N=(Length) FWResidsSquared
for (j=0; j<nsegments; j += 1)
CurveFit/Q Line Cumulative[j*segmlength, (j+1)*segmlength-1 ] /X=Xwave /D /R /A=0
Wave Res_Cumulative
FWResidsSquared[j*segmlength, (j+1)* segmlength-1] = Res_Cumulative[p]^2
endfor
MatrixFWSquaredResids[][i] = FWResidsSquared[p]
endfor
End
The matrix in the attachment should show zero values in rows 11 and 12 of the second column as well as in rows 10, 11, and 12 of the fifth column. Instead of that
the columns repeat the values in the same rows of column 1 and 4, respectively. Problems like the one shown above turn up when the the segment length is not a
divisor of the length of the time series.
Does anyone know how I may show the squared residuals correctly also in situations where the segment length fails to be a divisor of the length of the time series?
Any help is highly appreciated.
Eduard
![Output MatrixFWSquaredResids.jpg](/sites/www.wavemetrics.com/files/styles/content_body/public/images-imported/Output%20MatrixFWSquaredResids_0.thumbnail.jpg)
I'm not completely certain this is the source of your problem, but my hunch is that it is. You should change
Make/O/N=(Length) FWResidsSquared
to
Make/O/N=(Length) FWResidsSquared = 0
Overwriting a wave with the /O flag leaves the contents unchanged, unless you change the wave's dimensions. Even then, some elements will retain a non-zero value.
Jeff
September 7, 2012 at 11:11 am - Permalink
Eduard
September 7, 2012 at 11:39 am - Permalink