87 lines
2.9 KiB
Matlab
87 lines
2.9 KiB
Matlab
function dataset_ = descriptive_statistics(dataset_,statistic,varagin)
|
|
% Computes various descriptive statistics for the sample and stores them in the structure dataset_.
|
|
|
|
%@info:
|
|
%! @deftypefn {Function File} {@var{dataset_} =} descriptive_statistics(@var{dataset_},@var{statistic})
|
|
%! @deftypefn {Function File} {@var{dataset_} =} descriptive_statistics(@var{dataset_},@var{statistic},nlags)
|
|
%! @anchor{compute_corr}
|
|
%! This function computes various descriptive statistics on the sample (possibly with missing observations).
|
|
%!
|
|
%! @strong{Inputs}
|
|
%! @table @var
|
|
%! @item dataset_
|
|
%! Dynare structure describing the dataset, built by @ref{initialize_dataset}
|
|
%! @item statistic
|
|
%! String. The name of the statistic to be computed. Admissible values are:
|
|
%! @table @var
|
|
%! @item 'stdv'
|
|
%! Computes the standard deviation of each observed variable.
|
|
%! @item 'cova'
|
|
%! Computes the covariance matrix of the sample.
|
|
%! @item 'corr'
|
|
%! Computes the correlation matrix of the sample.
|
|
%! @item 'acov'
|
|
%! Computes the (multivariate) auto-covariance function of the sample. In this case a third argument (@code{nlags}) defining the
|
|
%! maximum number of lags is mandatory.
|
|
%! @end table
|
|
%! @item nlags
|
|
%! Integer scalar. The maximum number of lags when computing the autocovariance function.
|
|
%! @end table
|
|
%!
|
|
%! @strong{Outputs}
|
|
%! @table @var
|
|
%! @item dataset_
|
|
%! Dynare structure describing the dataset, built by @ref{initialize_dataset}
|
|
%! @end table
|
|
%!
|
|
%! @strong{This function is called by:}
|
|
%! none.
|
|
%!
|
|
%! @strong{This function calls:}
|
|
%! @ref{compute_stdv}, @ref{compute_cova}, @ref{compute_corr}, @ref{compute_acov}.
|
|
%!
|
|
%! @strong{Remark 1.} On exit, a new field containing the computed statistics is appended to the structure.
|
|
%!
|
|
%! @end deftypefn
|
|
%@eod:
|
|
|
|
% Copyright (C) 2011-2012 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/>.
|
|
|
|
% Original author: stephane DOT adjemian AT univ DASH lemans DOT fr
|
|
|
|
|
|
if strcmpi(statistic,'stdv')
|
|
dataset_ = compute_std(dataset_)
|
|
end
|
|
|
|
if strcmpi(statistic,'cova')
|
|
dataset_ = compute_cova(dataset_)
|
|
end
|
|
|
|
if strcmpi(statistic,'corr')
|
|
dataset_ = compute_cova(dataset_)
|
|
end
|
|
|
|
if strcmpi(statistic,'acov')
|
|
if nargin==2
|
|
nlag = 10;
|
|
else
|
|
nlag = varargin{1};
|
|
end
|
|
dataset_ = compute_acov(dataset_,nlag);
|
|
end |