42 lines
1.3 KiB
Matlab
42 lines
1.3 KiB
Matlab
function [Q,R] = qr2(varargin)
|
|
% This routine performs a qr decomposition of matrix X such that the
|
|
% diagonal scalars of the upper-triangular matrix R are positive. If X
|
|
% is a full (column) rank matrix, then R is also the cholesky
|
|
% factorization of X'X. This property is needed for the Del Negro
|
|
% & Schorfheides's identification scheme.
|
|
%
|
|
% INPUTS
|
|
% See matlab's documentation for QR decomposition.
|
|
%
|
|
% OUTPUTS
|
|
% See matlab's documentation for QR decomposition.
|
|
%
|
|
% ALGORITHM
|
|
% None.
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
% None.
|
|
|
|
% Copyright © 2006-2017 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 <https://www.gnu.org/licenses/>.
|
|
|
|
[Q,R] = qr(varargin{:});
|
|
indx = find(diag(R)<0);
|
|
if ~isempty(indx)
|
|
Q(:,indx) = -Q(:,indx);
|
|
R(indx,:) = -R(indx,:);
|
|
end |