Mercurial > hg > octave-lyh
annotate scripts/signal/autoreg_matrix.m @ 11540:b0ef6f28e09a
deprecate krylovb function
| author | John W. Eaton <jwe@octave.org> |
|---|---|
| date | Sat, 15 Jan 2011 03:40:32 -0500 |
| parents | fd0a3ac60b0e |
| children | 05a6e27d7908 |
| rev | line source |
|---|---|
| 11523 | 1 ## Copyright (C) 1995-2011 Kurt Hornik |
| 3426 | 2 ## |
| 3922 | 3 ## This file is part of Octave. |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 3426 | 9 ## |
| 3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
| 3191 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 13 ## General Public License for more details. |
| 14 ## | |
| 3191 | 15 ## You should have received a copy of the GNU General Public License |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 3191 | 18 |
| 3449 | 19 ## -*- texinfo -*- |
| 20 ## @deftypefn {Function File} {} autoreg_matrix (@var{y}, @var{k}) | |
| 21 ## Given a time series (vector) @var{y}, return a matrix with ones in the | |
| 22 ## first column and the first @var{k} lagged values of @var{y} in the | |
| 23 ## other columns. I.e., for @var{t} > @var{k}, @code{[1, | |
| 6547 | 24 ## @var{y}(@var{t}-1), @dots{}, @var{y}(@var{t}-@var{k})]} is the t-th row |
| 3449 | 25 ## of the result. The resulting matrix may be used as a regressor matrix |
| 26 ## in autoregressions. | |
| 27 ## @end deftypefn | |
| 3426 | 28 |
| 5428 | 29 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
| 3457 | 30 ## Description: Design matrix for autoregressions |
| 3191 | 31 |
| 32 function X = autoreg_matrix (y, k) | |
| 33 | |
| 34 if (nargin != 2) | |
| 6046 | 35 print_usage (); |
| 3191 | 36 endif |
| 3426 | 37 |
| 4030 | 38 if (! (isvector (y))) |
|
11472
1740012184f9
Use uppercase for variable names in error() strings to match Info documentation. Only m-files done.
Rik <octave@nomad.inbox5.com>
parents:
7017
diff
changeset
|
39 error ("autoreg_matrix: Y must be a vector"); |
| 3191 | 40 endif |
| 3426 | 41 |
| 3191 | 42 T = length (y); |
| 43 y = reshape (y, T, 1); | |
| 44 X = ones (T, k+1); | |
| 45 for j = 1 : k; | |
| 3273 | 46 X(:, j+1) = [(zeros (j, 1)); y(1:T-j)]; |
| 3191 | 47 endfor |
| 3426 | 48 |
| 3191 | 49 endfunction |