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Cosmetic changes and factorization of a division. 

git-svn-id: https://www.dynare.org/svn/dynare/dynare_v4@1828 ac1d8469-bf42-47a9-8791-bf33cf982152
time-shift
adjemian 2008-05-16 15:59:41 +00:00
parent c61d46e1f6
commit 0f1e8c8137
1 changed files with 8 additions and 9 deletions
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17
matlab/recursive_moments.m
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@ -1,6 +1,4 @@
function [mu,sigma,offset] = recursive_moments(m0,s0,data,offset)
% function [mu,sigma,offset] = recursive_moments(m0,s0,data,offset)
% Recursive estimation of order one and two moments (expectation and
% covariance matrix).
%
@ -27,13 +25,14 @@ function [mu,sigma,offset] = recursive_moments(m0,s0,data,offset)
[T,n] = size(data);
for t = 1:T
tt = t+offset;
m1 = m0 + (1/tt)*(data(t,:)'-m0);
qq = m1*m1';
s1 = s0 + (1/tt)*(data(t,:)'*data(t,:)-qq-s0) + ((tt-1)/tt)*(m0*m0'-qq');
m0 = m1;
s0 = s1;
tt = t+offset;
m1 = m0 + (data(t,:)'-m0)/tt;
qq = m1*m1';
s1 = s0 + ( (data(t,:)'*data(t,:)-qq-s0) + (tt-1)*(m0*m0'-qq') )/tt;
m0 = m1;
s0 = s1;
end
mu = m1; sigma = s1;
mu = m1;
sigma = s1;
offset = offset+T;