2009-12-31 11:20:32 +01:00
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function autocov = multivariate_sample_autocovariance(data,q)
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% Computes the autocovariance function of multivariate time series.
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%
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2017-05-16 15:10:20 +02:00
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%
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% INPUTS
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2009-12-31 11:20:32 +01:00
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% data [double] T*m matrix of data.
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2017-05-16 15:10:20 +02:00
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% q [integer] Order of the autocovariance function.
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%
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% OUTPUTS
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2009-12-31 11:20:32 +01:00
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% autocov [double] m*m*(q+1) array, autocovariance function.
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%
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% SPECIAL REQUIREMENTS
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2017-05-18 18:36:38 +02:00
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% Copyright (C) 2009-2017 Dynare Team
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2009-12-31 11:20:32 +01:00
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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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2021-06-09 17:33:48 +02:00
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% along with Dynare. If not, see <https://www.gnu.org/licenses/>.
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2009-12-31 11:20:32 +01:00
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[T,m] = size(data);
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autocov = zeros(m,m,q+1);
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demeaned_data = data - repmat(mean(data),T,1);
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for i = 0:q
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autocov(:,:,i+1) = transpose(demeaned_data(1:T-i,:))*demeaned_data(i+1:T,:);
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end
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autocov = autocov/T;
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