function dataset_ = compute_cova(dataset_) % Computes the covariance matrix of the sample (possibly with missing observations). %@info: %! @deftypefn {Function File} {@var{dataset_} =} compute_corr(@var{dataset_}) %! @anchor{compute_corr} %! This function computes covariance matrix of the sample (possibly with missing observations). %! %! @strong{Inputs} %! @table @var %! @item dataset_ %! Dynare structure describing the dataset, built by @ref{initialize_dataset} %! @end table %! %! @strong{Outputs} %! @table @var %! @item dataset_ %! Dynare structure describing the dataset, built by @ref{initialize_dataset} %! @end table %! %! @strong{This function is called by:} %! @ref{descriptive_statistics}. %! %! @strong{This function calls:} %! @ref{ndim}, @ref{demean}, @ref{nandemean}. %! %! @strong{Remark 1.} On exit, a new field is appended to the structure: @code{dataset_.descriptive.cova} is a %! @tex{n\times n} vector (where @tex{n} is the number of observed variables as defined by @code{dataset_.info.nvobs}). %! %! @end deftypefn %@eod: % Copyright (C) 2011-2012 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 . % Original author: stephane DOT adjemian AT univ DASH lemans DOT fr dataset_.descriptive.cova = zeros(dataset_.nvobs); data = transpose(dataset_.data); for i=1:dataset_.info.nvobs for j=i:dataset_.info.nvobs if dataset_.missing.state dataset_.descriptive.cova(i,j) = nanmean(nandemean(data(:,i)).*nandemean(data(:,j))); else dataset_.descriptive.cova(i,j) = mean(demean(data(:,i)).*demean(data(:,j))); end if j>i dataset_.descriptive.cova(j,i) = dataset_.descriptive.cova(i,j); end end end