File: reglin.cat

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reglin(1)                      Scilab Function                      reglin(1)
NAME
  reglin - Linear regression

CALLING SEQUENCE
  [a,b,sig]=reglin(x,y)

DESCRIPTION
  solve the regression problem y=a*x+ b in the least square sense. sig is the
  standard deviation of the residual. x and y are two matrices of size x(p,n)
  and y(q,n), so the estimator a is a matrix of size (q,p) and b is a vector
  of size (q,1)

EXAMPLE
  // simulation of data for a(3,5) and b(3,1)
  x=rand(5,100);
  aa=matrix('magi',5);aa=aa(1:3,:);
  bb=[9;10;11]
  y=aa*x +bb*ones(1,100)+ 0.1*rand(3,100);
  // identification
  [a,b,sig]=reglin(x,y);
  maxi(abs(aa-a))
  maxi(abs(bb-b))
  // an other example : fitting a polynom
  f=1:100; x=[f.*f; f];
  y= [ 2,3]*x+ 10*ones(f) + 0.1*rand(f);
  [a,b]=reglin(x,y)