29 lines
640 B
Matlab
29 lines
640 B
Matlab
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function [mu,sigma] = recursive_moments(m0,s0,data,offset)
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% stephane.adjemian@cepremap.cnrs.fr [02-03-2005]
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%
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% m0 :: the initial mean, assumed to be a n*1 vector.
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% s0 :: the initial variance, assumed to be a n*n matrix.
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% data :: T*n matrix.
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%
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% mu :: the sample mean, a n*1 vector.
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% sigma :: the sample covariance matrix, a n*n matrix.
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%
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% --> TODO: dll
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T = size(data,1);
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n = size(data,2);
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for t = 1:T
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tt = t+offset;
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m1 = m0 + (1/tt)*(data(t,:)'-m0);
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s1 = s0 + (1/tt)*(data(t,:)'*data(t,:)-m1*m1'-s0) + ((tt-1)/tt)*(m0*m0'-m1*m1');
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m0 = m1;
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s0 = s1;
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end
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mu = m1;
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sigma = s1;
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