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## Copyright (C) 1996 John W. Eaton
##
## This file is part of Octave.
##
## Octave 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, or (at your option)
## any later version.
##
## Octave 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 Octave; see the file COPYING. If not, write to the Free
## Software Foundation, 59 Temple Place - Suite 330, Boston, MA
## 02111-1307, USA.
## usage: [BETA, v [,R]] = gls (Y, X, O)
##
## Generalized Least Squares (GLS) estimation for the multivariate model
##
## Y = X*B + E, mean(E) = 0, cov(vec(E)) = (s^2)*O
##
## with Y ... T x p As usual, each row of Y and X is an observation
## X ... T x k and each column a variable.
## B ... k x p
## E ... T x p
## O ... Tp x Tp.
##
## BETA is the GLS estimator for B.
## v is the GLS estimator for s^2.
## R = Y - X*BETA is the matrix of GLS residuals.
## Author: Teresa Twaroch <twaroch@ci.tuwien.ac.at>
## Created: May 1993
## Adapted-By: jwe
function [BETA, v, R] = gls (Y, X, O)
if (nargin != 3)
usage ("[BETA, v [, R]] = gls (Y, X, O)");
endif
[rx, cx] = size (X);
[ry, cy] = size (Y);
if (rx != ry)
error ("gls: incorrect matrix dimensions");
endif
O = O^(-1/2);
Z = kron (eye (cy), X);
Z = O * Z;
Y1 = O * reshape (Y, ry*cy, 1);
U = Z' * Z;
r = rank (U);
if (r == cx*cy)
B = inv (U) * Z' * Y1;
else
B = pinv (Z) * Y1;
endif
BETA = reshape (B, cx, cy);
R = Y - X * BETA;
v = (reshape (R, ry*cy, 1))' * (O^2) * reshape (R, ry*cy, 1) / (rx*cy - r);
endfunction
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