Due to changes in Matlab there is one small caveat: in Matlab 2007 you could use a matrix of regressors with a constant column in it. This has changed since, in Matlab 2010a (possibly earlier ), you are prohibited to use a constant col in the 'regstats' function, this in the 'TESTHET', otherwise you get all NaNs for every metric that matters. However, you are still advised to add a constant col to regressors in the 'regress' function.
Obviously, this inconsistency is Mathworks' fault, not the author's, so five stars.
(Although it would be nice to implement a check on constant columns to alleviate this problem.)
Hi Mikhail! Thank you for the submisssion, it's a clearly written function that works like charm!
I was wondering if you could refer me to an article on how to set kernel width? I see that you provide a default method, which is pretty good already, but I want to learn more. Thanks!