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Code Listing by Statovic

Code 1-3 of 3   






Set of Matlab scripts for efficiently implementing Leo Breiman's non-negative garotte. For estimation of the garotte constraint we use either k-fold cross validation or the little bootstrap.



Efficiently generate n sorted p-vectors of variates uniformly from [0,1], i.e. subject to each vector satisfying

x_1 <= x_2 <= x_3 <= ... <= x_p

Imlements the algorithm from:

(1) Generating Sorted...



Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.