41 lines
1.3 KiB
Matlab
41 lines
1.3 KiB
Matlab
function autocov = multivariate_sample_autocovariance(data,q)
|
|
% Computes the autocovariance function of multivariate time series.
|
|
%
|
|
%
|
|
% INPUTS
|
|
% data [double] T*m matrix of data.
|
|
% q [integer] Order of the autocovariance function.
|
|
%
|
|
% OUTPUTS
|
|
% autocov [double] m*m*(q+1) array, autocovariance function.
|
|
%
|
|
% SPECIAL REQUIREMENTS
|
|
|
|
% Copyright © 2009-2017 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/>.
|
|
|
|
[T,m] = size(data);
|
|
|
|
autocov = zeros(m,m,q+1);
|
|
|
|
demeaned_data = data - repmat(mean(data),T,1);
|
|
|
|
for i = 0:q
|
|
autocov(:,:,i+1) = transpose(demeaned_data(1:T-i,:))*demeaned_data(i+1:T,:);
|
|
end
|
|
|
|
autocov = autocov/T; |