49 lines
1.5 KiB
Matlab
49 lines
1.5 KiB
Matlab
function m = moments(X,order)
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% Returns the central sample moment of X specified by the positive integer order.
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%
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% Note that the cross moments are only computed if order=2, in this case the
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% output is a matrix.
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%
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% INPUTS
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% X [double] T*n matrix, where T is the number of observations and n the number of variables.
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% order [integer] scalar.
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%
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% OUTPUTS
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% m [double] n*n matrix or n*1 vector of centered moments.
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%
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% SPECIAL REQUIREMENTS
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% none
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% Copyright © 2009-2017 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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switch order
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case 1
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m = transpose(mean(X));
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case 2
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m = cov(X);
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otherwise
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if round(order)-order
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error('The second input argument (order) has to be an integer!')
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end
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[~,n] = size(X);
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c = mean(X);
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m = zeros(n,1);
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for i=1:n
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m(i) = mean((X(:,i)-c(i)).^order);
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end
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end |