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annotate scripts/signal/autoreg_matrix.m @ 3191:e4f4b2d26ee9

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[project @ 1998-10-23 05:43:59 by jwe]
author jwe
date Fri, 23 Oct 1998 05:44:01 +0000
parents
children eb27ea9b7ff8
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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
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2 ##
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3 ## This program is free software; you can redistribute it and/or modify
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4 ## it under the terms of the GNU General Public License as published by
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5 ## the Free Software Foundation; either version 2, or (at your option)
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6 ## any later version.
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7 ##
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8 ## This program is distributed in the hope that it will be useful, but
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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11 ## General Public License for more details.
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12 ##
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13 ## You should have received a copy of the GNU General Public License
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14 ## along with this file. If not, write to the Free Software Foundation,
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
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16
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17 ## usage: X = autoreg_matrix (y, k)
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18 ##
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19 ## Given a time series (vector) y, returns a matrix X with ones in the
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20 ## first column and the first k lagged values of y in the other columns.
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21 ## I.e., for t > k, [1, y(t-1), ..., y(t-k)] is the t-th row of X. X can
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22 ## be used as regressor matrix in autoregressions.
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23
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24 ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at>
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25 ## Description: Design matrix for autoregressions
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26
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27 function X = autoreg_matrix (y, k)
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28
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29 if (nargin != 2)
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30 usage ("autoreg_matrix (y, k)");
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31 endif
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32
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33 if !(is_vector (y))
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34 error ("autoreg_matrix: y must be a vector");
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35 endif
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36
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37 T = length (y);
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38 y = reshape (y, T, 1);
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39 X = ones (T, k+1);
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40 for j = 1 : k;
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41 X(:, j+1) = [zeros (j, 1); y(1:T-j)];
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42 endfor
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43
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44 endfunction