77 lines
2.5 KiB
Matlab
77 lines
2.5 KiB
Matlab
function autocov = nanautocovariance(data,order)
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% Computes the (multivariate) auto-covariance function of the sample (possibly with missing observations).
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%@info:
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%! @deftypefn {Function File} {@var{dataset_} =} compute_corr(@var{dataset_},@var{nlag})
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%! @anchor{compute_acov}
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%! This function computes the (multivariate) auto-covariance function of the sample (possibly with missing observations).
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%!
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%! @strong{Inputs}
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%! @table @var
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%! @item data
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%! T*N array of real numbers.
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%! @item order
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%! Integer scalar. The maximum number of lags of the autocovariance function.
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%! @end table
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%!
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%! @strong{Outputs}
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%! @table @var
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%! @item autocov
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%! A N*N*order array of real numbers.
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%! @end table
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%!
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%! @strong{This function is called by:}
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%! @ref{descriptive_statistics}.
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%!
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%! @strong{This function calls:}
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%! @ref{ndim}, @ref{nancovariance}, @ref{demean}, @ref{nandemean}.
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%!
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%! @strong{Remark 1.} On exit, a new field is appended to the structure: @code{dataset_.descriptive.acov} is a
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%! @tex{n\times n\times p} array (where @tex{n} is the number of observed variables as defined by @code{dataset_.info.nvobs},
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%! and @tex{n} is the maximum number of lags given by the second input @code{nlag}).
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%!
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%! @strong{Remark 2.} If @code{dataset_.descriptive.cova} does not exist, the covariance matrix is computed prior to the
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%! computation of the auto-covariance function.
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%!
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%! @end deftypefn
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%@eod:
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% Copyright © 2011-2014 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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n = size(data,2);
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missing = isanynan(data);
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autocov = nan(n, n, order);
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order = min(size(data,1)-2,order);
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autocov(:, :, 1:order)=0;
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for lag=1:order
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if missing
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data = nandemean(data);
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else
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data = demean(data);
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end
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for i=1:n
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for j=1:n
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if missing
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autocov(i,j,lag) = nanmean(data((lag+1):end,i).*data(1:end-lag,j));
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else
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autocov(i,j,lag) = mean(data((lag+1):end,i).*data(1:end-lag,j));
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end
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end
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end
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end |