29 lines
573 B
Matlab
29 lines
573 B
Matlab
function [Ui,Vi,n0,np,ixmC0Pres] = upper_cholesky(lags,nvar,nexo,indxC0Pres)
|
|
|
|
Ui = cell(nvar,1);
|
|
Vi = cell(nvar,1);
|
|
n0 = zeros(nvar,1);
|
|
np = zeros(nvar,1);
|
|
if (nargin==2)
|
|
nexo = 1;
|
|
elseif (nargin==3)
|
|
indxC0Pres = 0;
|
|
end
|
|
k = lags*nvar+nexo;
|
|
Qi = zeros(nvar,nvar,nvar);
|
|
Ri = zeros(k,k,nvar);
|
|
|
|
for ii=2:nvar
|
|
Pi=diag(diag(ones(nvar-ii+1)),ii-1);
|
|
Qi(:,:,ii-1)=Pi(1:nvar,1:nvar);
|
|
Qi(:,:,nvar)=zeros(nvar,nvar);
|
|
end
|
|
|
|
for n=1:nvar
|
|
Ui{n} = null(Qi(:,:,n));
|
|
Vi{n} = null(Ri(:,:,n));
|
|
n0(n) = size(Ui{n},2);
|
|
np(n) = size(Vi{n},2);
|
|
end
|
|
|
|
ixmC0Pres = NaN; |