function [autocov,autocor] = sample_autocovariance(data,q) % Computes the autocovariance function associated to a time series. % % % INPUTS % % data [double] T*1 vector of data. % q [integer] Order of the autocovariance function. % % OUTPUTS % autocov [double] (q+1)*1 vector, autocovariance function (first scalar is the variance). % autocor [double] (q+1)*1 vector, autocorrelation function (first scalar is equal to one). % % SPECIAL REQUIREMENTS % Copyright © 2003-2017 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 . autocov = zeros(q+1,1); demeaned_data = data(:) - mean(data(:)); sample_size = length( data(q+1:end) ); lagged_indices = transpose(0:-1:-q); for t = 1:sample_size tt = t+q; autocov = autocov + demeaned_data(tt)*demeaned_data(tt+lagged_indices); end autocov = autocov/sample_size ; if nargout>1 autocor = autocov / autocov(1); end