|
3191
|
1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch |
|
3426
|
2 ## |
|
3191
|
3 ## This program is free software; you can redistribute it and/or modify |
|
|
4 ## it under the terms of the GNU General Public License as published by |
|
|
5 ## the Free Software Foundation; either version 2, or (at your option) |
|
|
6 ## any later version. |
|
3426
|
7 ## |
|
3191
|
8 ## This program is distributed in the hope that it will be useful, but |
|
|
9 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
|
|
10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
|
3426
|
11 ## General Public License for more details. |
|
|
12 ## |
|
3191
|
13 ## You should have received a copy of the GNU General Public License |
|
|
14 ## along with this file. If not, write to the Free Software Foundation, |
|
|
15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. |
|
|
16 |
|
3449
|
17 ## -*- texinfo -*- |
|
|
18 ## @deftypefn {Function File} {} autocov (@var{x}, @var{h}) |
|
|
19 ## Return the autocovariances from lag 0 to @var{h} of vector @var{x}. |
|
|
20 ## If @var{h} is omitted, all autocovariances are computed. |
|
|
21 ## If @var{x} is a matrix, the autocovariances of each column are |
|
3426
|
22 ## computed. |
|
3449
|
23 ## @end deftypefn |
|
3191
|
24 |
|
3457
|
25 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
|
|
26 ## Description: Compute autocovariances |
|
3426
|
27 |
|
3191
|
28 function retval = autocov (X, h) |
|
3426
|
29 |
|
3238
|
30 [n, c] = size (X); |
|
3426
|
31 |
|
3191
|
32 if (is_vector (X)) |
|
|
33 n = length (X); |
|
|
34 c = 1; |
|
|
35 X = reshape (X, n, 1); |
|
|
36 endif |
|
3426
|
37 |
|
3191
|
38 X = center (X); |
|
3426
|
39 |
|
3191
|
40 if (nargin == 1) |
|
|
41 h = n - 1; |
|
|
42 endif |
|
3426
|
43 |
|
3191
|
44 retval = zeros (h + 1, c); |
|
3426
|
45 |
|
3418
|
46 for i = 0 : h |
|
|
47 retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))) / n; |
|
|
48 endfor |
|
3426
|
49 |
|
3191
|
50 endfunction |
