linearmodfun_out.m

来自「Neural Network in Finance (神经网络在金融界:赢得预言」· M 代码 · 共 27 行

function [error, yhat] = linearmodfun(beta);
global data1 squasher malags;
y = data1(:,1);
x = data1(:,2:end-1);
[nx, cx] = size(x);
% beta(1:cx+1) = abs(beta(1:cx+1));
[nx, cx] = size(x);
ny = length(y);
yhat1 = y; 
ehat(1:malags,1) = zeros(malags,1);
xx0 = x * beta(1:cx)' + ones(ny,1) * abs(beta(cx+1));
for i = malags+1:ny, 
EXX = ehat(i-malags:i-1,:);
yhat1(i,:) =  xx0(i,:) +  beta(cx + 2: end) * EXX;
ehat(i,:) = y(i,:) - yhat1(i,:);
end;
    


error = 0;
yhat = yhat1;