43 lines
1.1 KiB
Matlab
43 lines
1.1 KiB
Matlab
function [co, b, yhat] = cosn(H);
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% function co = cosn(H);
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% computes the cosine of the angle between the H(:,1) and its
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% projection onto the span of H(:,2:end)
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%
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% Not the same as multiple correlation coefficient since the means are not
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% zero
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%
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% Copyright (C) 2008-2012 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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y = H(:,1);
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X = H(:,2:end);
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b=(X\y);
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if any(isnan(b)) || any(isinf(b)),
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b=0;
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end
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yhat = X*b;
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if rank(yhat),
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co = abs(y'*yhat/sqrt((y'*y)*(yhat'*yhat)));
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else
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co=0;
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end
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