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function [autocov,autocor] = sample_autocovariance(data,q)
% Computes the autocovariance function associated to a time series.
%
%
% INPUTS
%
% data [double] T*1 vector of data.
% q [integer] Order of the autocovariance function.
%
% OUTPUTS
% autocov [double] (q+1)*1 vector, autocovariance function (first scalar is the variance).
% autocor [double] (q+1)*1 vector, autocorrelation function (first scalar is equal to one).
%
% SPECIAL REQUIREMENTS
% Copyright (C) 2003-2008 Dynare Team
%
% This file is part of Dynare.
%
% Dynare is free software: you can redistribute it and/or modify
% it under the terms of the GNU General Public License as published by
% the Free Software Foundation, either version 3 of the License, or
% (at your option) any later version.
%
% Dynare is distributed in the hope that it will be useful,
% but WITHOUT ANY WARRANTY; without even the implied warranty of
% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
% GNU General Public License for more details.
%
% You should have received a copy of the GNU General Public License
% along with Dynare. If not, see <http://www.gnu.org/licenses/>.
autocov = zeros(q+1,1);
demeaned_data = data(:) - mean(data(:));
sample_size = length( data(q+1:end) );
lagged_indices = transpose(0:-1:-q);
for t = 1:sample_size
tt = t+q;
autocov = autocov + demeaned_data(tt)*demeaned_data(tt+lagged_indices);
end
autocov = autocov/sample_size ;
if nargout>1
autocor = autocov / autocov(1);
end
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