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[project @ 2002-05-01 06:48:35 by jwe]
author jwe
date Wed, 01 May 2002 06:48:36 +0000
parents e031284eea27
children 22bd65326ec1
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1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 2, or (at your option)
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8 ## any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, write to the Free
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17 ## Software Foundation, 59 Temple Place - Suite 330, Boston, MA
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18 ## 02111-1307, USA.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {} autocov (@var{x}, @var{h})
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22 ## Return the autocovariances from lag 0 to @var{h} of vector @var{x}.
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23 ## If @var{h} is omitted, all autocovariances are computed.
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24 ## If @var{x} is a matrix, the autocovariances of each column are
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25 ## computed.
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26 ## @end deftypefn
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28 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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29 ## Description: Compute autocovariances
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31 function retval = autocov (X, h)
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33 [n, c] = size (X);
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34
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35 if (is_vector (X))
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36 n = length (X);
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37 c = 1;
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38 X = reshape (X, n, 1);
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39 endif
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40
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41 X = center (X);
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42
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43 if (nargin == 1)
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44 h = n - 1;
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45 endif
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46
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47 retval = zeros (h + 1, c);
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48
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49 for i = 0 : h
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50 retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))) / n;
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51 endfor
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52
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53 endfunction