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