From c7e848948156fe8febca22276a77c9586c565d87 Mon Sep 17 00:00:00 2001 From: Johannes Pfeifer Date: Sat, 14 May 2016 13:23:01 +0200 Subject: [PATCH] Rename autocorr into dyn_autocorr.m as it does not mirror the behavior of the econometric toolbox function --- .../econ/autocorr.m => dyn_autocorr.m} | 80 +++++++++---------- matlab/mcmc_ifac.m | 2 +- 2 files changed, 41 insertions(+), 41 deletions(-) rename matlab/{missing/econ/autocorr.m => dyn_autocorr.m} (96%) diff --git a/matlab/missing/econ/autocorr.m b/matlab/dyn_autocorr.m similarity index 96% rename from matlab/missing/econ/autocorr.m rename to matlab/dyn_autocorr.m index 5fb53337c..a97551133 100644 --- a/matlab/missing/econ/autocorr.m +++ b/matlab/dyn_autocorr.m @@ -1,40 +1,40 @@ -function acf = autocorr(y, ar) -% function acf = autocorr(y, ar) -% autocorrelation function of y -% -% INPUTS -% y: time series -% ar: # of lags -% -% OUTPUTS -% acf: autocorrelation for lags 1 to ar -% -% SPECIAL REQUIREMENTS -% none - -% Copyright (C) 2015 Dynare Team -% -% This file is part of Dynare. -% -% Dynare is free software: you can redistribute it and/or modify -% it under the terms of the GNU General Public License as published by -% the Free Software Foundation, either version 3 of the License, or -% (at your option) any later version. -% -% Dynare is distributed in the hope that it will be useful, -% but WITHOUT ANY WARRANTY; without even the implied warranty of -% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the -% GNU General Public License for more details. -% -% You should have received a copy of the GNU General Public License -% along with Dynare. If not, see . - - -y=y(:); -acf = NaN(ar+1,1); -acf(1)=1; -m = mean(y); -sd = std(y,1); -for i=1:ar, - acf(i+1) = (y(i+1:end)-m)'*(y(1:end-i)-m)./((size(y,1))*sd^2); -end +function acf = autocorr(y, ar) +% function acf = autocorr(y, ar) +% autocorrelation function of y +% +% INPUTS +% y: time series +% ar: # of lags +% +% OUTPUTS +% acf: autocorrelation for lags 1 to ar +% +% SPECIAL REQUIREMENTS +% none + +% Copyright (C) 2015 Dynare Team +% +% This file is part of Dynare. +% +% Dynare is free software: you can redistribute it and/or modify +% it under the terms of the GNU General Public License as published by +% the Free Software Foundation, either version 3 of the License, or +% (at your option) any later version. +% +% Dynare is distributed in the hope that it will be useful, +% but WITHOUT ANY WARRANTY; without even the implied warranty of +% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the +% GNU General Public License for more details. +% +% You should have received a copy of the GNU General Public License +% along with Dynare. If not, see . + + +y=y(:); +acf = NaN(ar+1,1); +acf(1)=1; +m = mean(y); +sd = std(y,1); +for i=1:ar, + acf(i+1) = (y(i+1:end)-m)'*(y(1:end-i)-m)./((size(y,1))*sd^2); +end diff --git a/matlab/mcmc_ifac.m b/matlab/mcmc_ifac.m index cd0ebcb06..3688153f9 100644 --- a/matlab/mcmc_ifac.m +++ b/matlab/mcmc_ifac.m @@ -57,7 +57,7 @@ Nc = floor(min(Nc, length(X)/2)); if mod(Nc,2), Nc=Nc-1; end -AcorrXSIM = autocorr(X(:), Nc); +AcorrXSIM = dyn_autocorr(X(:), Nc); % %Calculate the Parzen Weight Parzen=zeros(Nc+1,1);