84 lines
2.1 KiB
Matlab
84 lines
2.1 KiB
Matlab
function [yy, xdir, isig, lam]=log_trans_(y0,xdir0,isig,lam)
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% Written by Marco Ratto
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% Joint Research Centre, The European Commission,
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% marco.ratto@ec.europa.eu
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% Copyright (C) 2012 European Commission
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% Copyright (C) 2012 Dynare Team
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%
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% This file is part of Dynare.
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%
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% Dynare is free software: you can redistribute it and/or modify
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% it under the terms of the GNU General Public License as published by
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% the Free Software Foundation, either version 3 of the License, or
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% (at your option) any later version.
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%
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% Dynare is distributed in the hope that it will be useful,
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% but WITHOUT ANY WARRANTY; without even the implied warranty of
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% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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% GNU General Public License for more details.
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%
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% You should have received a copy of the GNU General Public License
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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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if nargin==4,
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% inverse transformation
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yy = (exp(y0)-lam)*isig;
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return
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end
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if nargin==1,
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xdir0='';
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end
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f=@(lam,y)gsa_skewness(log(y+lam));
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isig=1;
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if ~(max(y0)<0 | min(y0)>0)
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if gsa_skewness(y0)<0,
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isig=-1;
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y0=-y0;
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end
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n=hist(y0,10);
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if n(1)>20*n(end),
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try lam=fzero(f,[-min(y0)+10*eps -min(y0)+abs(median(y0))],[],y0);
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catch
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yl(1)=f(-min(y0)+10*eps,y0);
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yl(2)=f(-min(y0)+abs(median(y0)),y0);
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if abs(yl(1))<abs(yl(2))
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lam=-min(y0)+eps;
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else
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lam = -min(y0)+abs(median(y0)); %abs(100*(1+min(y0)));
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end
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end
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yy = log(y0+lam);
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xdir=[xdir0,'_logskew'];
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else
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isig=0;
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lam=0;
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yy = log(y0.^2);
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xdir=[xdir0,'_logsquared'];
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end
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else
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if max(y0)<0
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isig=-1;
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y0=-y0;
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%yy=log(-y0);
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xdir=[xdir0,'_minuslog'];
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elseif min(y0)>0
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%yy=log(y0);
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xdir=[xdir0,'_log'];
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end
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try lam=fzero(f,[-min(y0)+10*eps -min(y0)+median(y0)],[],y0);
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catch
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yl(1)=f(-min(y0)+10*eps,y0);
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yl(2)=f(-min(y0)+abs(median(y0)),y0);
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if abs(yl(1))<abs(yl(2))
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lam=-min(y0)+eps;
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else
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lam = -min(y0)+abs(median(y0)); %abs(100*(1+min(y0)));
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end
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end
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lam = max(lam,0);
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yy = log(y0+lam);
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end
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