Rewrote compute_cova and renamed it nancovariance. Added a new routine to test if an array contain at least one NaN.
Stéphane Adjemian (Charybdis)
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06d1f66242
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dd223e41f5
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function dataset_ = compute_cova(dataset_)
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% Computes the covariance matrix of the sample (possibly with missing observations).
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%@info:
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%! @deftypefn {Function File} {@var{dataset_} =} compute_corr(@var{dataset_})
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%! @anchor{compute_corr}
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%! This function computes covariance matrix of the sample (possibly with missing observations).
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%!
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%! @strong{Inputs}
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%! @table @var
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%! @item dataset_
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%! Dynare structure describing the dataset, built by @ref{initialize_dataset}
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%! @end table
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%!
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%! @strong{Outputs}
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%! @table @var
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%! @item dataset_
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%! Dynare structure describing the dataset, built by @ref{initialize_dataset}
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%! @end table
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%!
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%! @strong{This function is called by:}
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%! @ref{descriptive_statistics}.
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%!
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%! @strong{This function calls:}
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%! @ref{ndim}, @ref{demean}, @ref{nandemean}.
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%!
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%! @strong{Remark 1.} On exit, a new field is appended to the structure: @code{dataset_.descriptive.cova} is a
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%! @tex{n\times n} vector (where @tex{n} is the number of observed variables as defined by @code{dataset_.info.nvobs}).
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%!
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%! @end deftypefn
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%@eod:
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% Copyright (C) 2011-2012 Dynare Team
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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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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Original author: stephane DOT adjemian AT univ DASH lemans DOT fr
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dataset_.descriptive.cova = zeros(dataset_.nvobs);
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data = transpose(dataset_.data);
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for i=1:dataset_.info.nvobs
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for j=i:dataset_.info.nvobs
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if dataset_.missing.state
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dataset_.descriptive.cova(i,j) = nanmean(nandemean(data(:,i)).*nandemean(data(:,j)));
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else
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dataset_.descriptive.cova(i,j) = mean(demean(data(:,i)).*demean(data(:,j)));
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end
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if j>i
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dataset_.descriptive.cova(j,i) = dataset_.descriptive.cova(i,j);
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end
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end
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end
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@ -0,0 +1,101 @@
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function CovarianceMatrix = nancovariance(data)
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% Computes the covariance matrix of a sample (possibly with missing observations).
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%@info:
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%! @deftypefn {Function File} {@var{CovarianceMatrix} =} compute_corr(@var{data})
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%! @anchor{compute_cova}
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%! This function computes covariance matrix of a sample defined by a dseries object (possibly with missing observations).
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%!
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%! @strong{Inputs}
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%! @table @var
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%! @item data
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%! a T*N array of real numbers.
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%! @end table
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%!
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%! @strong{Outputs}
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%! @table @var
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%! @item CovarianceMatrix
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%! Array of real numbers.
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%! @end table
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%!
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%! @strong{This function is called by:}
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%! @ref{descriptive_statistics}.
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%!
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%! @strong{This function calls:}
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%! @ref{ndim}, @ref{demean}, @ref{nandemean}.
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%!
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%! @strong{Remark 1.} On exit, a new field is appended to the structure: @code{dataset_.descriptive.cova} is a
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%! @tex{n\times n} vector (where @tex{n} is the number of observed variables as defined by @code{dataset_.info.nvobs}).
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%!
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%! @end deftypefn
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%@eod:
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% Copyright (C) 2011-2014 Dynare Team
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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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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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% Initialize the output.
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CovarianceMatrix = zeros(size(data,2));
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if isanynan(data)
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data = bsxfun(@minus,data,nanmean(data));
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for i=1:size(data,2)
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for j=i:size(data,2)
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CovarianceMatrix(i,j) = nanmean(data(:,i).*data(:,j));
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if j>i
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CovarianceMatrix(j,i) = CovarianceMatrix(i,j);
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end
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end
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end
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else
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data = bsxfun(@minus,data,mean(data));
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CovarianceMatrix = (transpose(data)*data)/size(data,1);
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end
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%@test:1
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%$
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%$ % Define a dataset.
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%$ data1 = randn(10000000,2);
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%$
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%$ % Same dataset with missing observations.
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%$ data2 = data1;
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%$ data2(45,1) = NaN;
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%$ data2(57,2) = NaN;
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%$ data2(367,:) = NaN(1,2);
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%$
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%$ t = zeros(2,1);
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%$
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%$ % Call the tested routine.
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%$ try
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%$ c1 = nancovariance(data1);
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%$ t(1) = 1;
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%$ catch
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%$ t(1) = 0;
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%$ end
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%$ try
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%$ c2 = nancovariance(data2);
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%$ t(2) = 1;
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%$ catch
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%$ t(2) = 0;
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%$ end
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%$
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%$ if t(1) && t(2)
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%$ t(3) = max(max(abs(c1-c2)))<1e-4;
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%$ end
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%$
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%$ % Check the results.
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%$ T = all(t);
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%@eof:1
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@ -0,0 +1,21 @@
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function yes = isanynan(array)
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% Return one if the array contains at least one NaN, 0 otherwise.
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% Copyright (C) 2011-2014 Dynare Team
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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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% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
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yes = any(isnan(array(:)));
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