33 lines
1.5 KiB
Matlab
33 lines
1.5 KiB
Matlab
function correct_flag=check_consistency_covariances(Covariance_matrix)
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% function check_consistency_covariances(Covariance_matrix)
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% checks consistency of covariance matrices by checking whether the
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% covariances imply correlations bigger than 1.
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%
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% Outputs: correct_flag [scalar] 0 if not consistent, 1 otherwise
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% Inputs: Covariance_matrix [matrix] covariance matrix to be checked
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% Copyright © 2013 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 <https://www.gnu.org/licenses/>.
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%compute theoretical bound by assuming correlation of 1
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bound=diag(sqrt(diag(Covariance_matrix)))*ones(size(Covariance_matrix))*diag(sqrt(diag(Covariance_matrix)));
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correct_flag=1;
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% We must check that Covariance_matrix is non-empty, because tril([],-1) fails under Octave
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if length(Covariance_matrix) > 0 && (any(any(tril(Covariance_matrix,-1)>bound)) || any(any(tril(Covariance_matrix,-1)<-bound)))
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correct_flag=0;
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end
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