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Bootstrapping residuals?

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Aug 15th, 2013
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  1. %% clear workspace
  2. close all
  3. clear all
  4. clc
  5.  
  6. %% parameters
  7. n_boot = 1e2;
  8. n_data = 20;
  9. sigma = 0.5;
  10. p0 = 5;
  11. p1 = 2;
  12.  
  13. %% generate data
  14. t = (1:n_data)';
  15. x_true = p0 + p1 * t;
  16.  
  17. %% generate noise
  18. x_noise =  sigma * randn(n_data,1);
  19. x = x_true + x_noise;
  20.  
  21. %% fit original data
  22. p_est = zeros(2, n_boot);
  23. p_est(:, 1) = polyfit( t, x, 1);
  24. x_best_fit = polyval( p_est(:, 1), t );
  25. x_residuals = x_best_fit - x;
  26.  
  27. %% draw bootstrap samples
  28. x_res_boot = x_residuals( randi( n_data, n_data, n_boot ) );
  29. x_boot = bsxfun( @plus, x_res_boot, x_best_fit );
  30.  
  31. %% fit bootstrap samples
  32. for i = 2:n_boot
  33.     p_est(:, i) = polyfit( t, x_boot(:, i), 1 );
  34. end
  35.  
  36. %% plot
  37. figure;
  38. subplot(2,2,1:2)
  39. hold on
  40. for i = 1:n_boot
  41.     plot( t, polyval( p_est(:, i), t ), 'r-')
  42. end
  43. plot(t, x, 'k.')
  44. hold off
  45. title('original noisy data and bootstrapped fit')
  46. subplot(2,2,3)
  47. hist( p_est(2, :) )
  48. title('p0')
  49. subplot(2,2,4)
  50. hist( p_est(1, :) )
  51. title('p1')
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