31 lines
1.3 KiB
Matlab
31 lines
1.3 KiB
Matlab
function correct_flag=check_consistency_covariances(Covariance_matrix)
|
|
% function check_consistency_covariances(Covariance_matrix)
|
|
% checks consistency of covariance matrices by checking whether the
|
|
% covariances imply correlations bigger than 1.
|
|
%
|
|
% Outputs: correct_flag [scalar] 0 if not consistent, 1 otherwise
|
|
% Inputs: Covariance_matrix [matrix] covariance matrix to be checked
|
|
|
|
% Copyright (C) 2013 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 <http://www.gnu.org/licenses/>.
|
|
|
|
%compute theoretical bound by assuming correlation of 1
|
|
bound=diag(sqrt(diag(Covariance_matrix)))*ones(size(Covariance_matrix))*diag(sqrt(diag(Covariance_matrix)));
|
|
correct_flag=1;
|
|
if any(any(tril(Covariance_matrix,-1)>bound)) || any(any(tril(Covariance_matrix,-1)<-bound))
|
|
correct_flag=0;
|
|
end |