48 lines
1.5 KiB
Matlab
48 lines
1.5 KiB
Matlab
function [autocov,autocor] = sample_autocovariance(data,q)
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% Computes the autocovariance function associated to a time series.
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%
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%
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% INPUTS
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%
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% data [double] T*1 vector of data.
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% q [integer] Order of the autocovariance function.
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%
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% OUTPUTS
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% autocov [double] (q+1)*1 vector, autocovariance function (first scalar is the variance).
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% autocor [double] (q+1)*1 vector, autocorrelation function (first scalar is equal to one).
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%
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% SPECIAL REQUIREMENTS
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% Copyright © 2003-2017 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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autocov = zeros(q+1,1);
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demeaned_data = data(:) - mean(data(:));
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sample_size = length( data(q+1:end) );
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lagged_indices = transpose(0:-1:-q);
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for t = 1:sample_size
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tt = t+q;
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autocov = autocov + demeaned_data(tt)*demeaned_data(tt+lagged_indices);
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end
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autocov = autocov/sample_size ;
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if nargout>1
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autocor = autocov / autocov(1);
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end |