作者FDBDB (TEJ)
站內Statistics
標題Re: [問題] R 的 機率密度函數問題
時間Sat Apr 25 20:04:46 2009
※ 引述《FDBDB (TEJ)》之銘言：
: % Compute standard errors for IQR when the equation is just identified
: % using the method proposed in Powell (1986). This implementation uses
: % a Gaussian kernel and a simple rule of thumb bandwidth.
: % [b,vc,J] = vciqr(bhat,y,x,tau)
: % Inputs -
: % bhat - estimated coefficients from QR
: % y - dependent variable
: % d - RHS endogenous variable
: % x - covariates (If there are no covariates, pass x = [].)
: % z - instruments
: % tau - quantile index
: % Outputs -
: % b - estimated coefficients with standard errors
: % vc - covariance matrix of b
: % J - matrix in asymptotic variance formula (J'SJ) used in process testing
: n = size(y,1); % Number of observations
: x = [x,ones(n,1)]; % Add constant term
: k = size(x,2); % Number of regressors
: vc = zeros(k,k);
: b = zeros(k,2);
: S = (1/n)*x'*x;
: e = y - x*bhat; % Generate residuals
: h = 1.364*((2*sqrt(pi))^(-1/5))*sqrt(var(e))*(n^(-1/5));
: %Calculate bandwidth using Silverman's rule of thumb
: J = (1/(n*h))*((normpdf(e/h)*ones(1,size(x,2))).*x)'*x;
: =============================================================================
: 有一段Matlab程式如上
: 其中
: 在 J = (1/(n*h))*((normpdf(e/h)*ones(1,size(x,2))).*x)'*x;
: normpdf為Matlab中的Normal probability density function
: 而normpdf(e/h)則代表computes the pdf at each of the values in X
: using the normal distribution
: 想請問板上各位版友
: 該怎麼在 R 中寫出 J 或是 normpdf(e/h) 的程式呢
: 或是 R 有類似 normpdf 的code嗎
: 拜託各位高手幫忙一下了
: 感恩感恩
所以在請問一下
若是原始Matlab的程式如下
J = (1/(n*h))*((normpdf(e/h)*ones(1,size(x,2))).*x)'*x;
則我用 R 是改寫成以下這樣嗎??
n<-dim(Y)[1]
h<-h[1,1]
constant<-as.matrix(c(rep(1,dim(Y)[1])))
x<-cbind(X,constant)
J<-(1/(dim(Y)[1]*h1[1,1]))*t(dnorm(errohat1/h[1,1])%*%
t(as.matrix(c(rep(1,dim(x)[2])))) *x)%*%x
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