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function autocov = multivariate_sample_autocovariance(data,q)
% Computes the autocovariance function of multivariate time series.
%
%
% INPUTS
% data [double] T*m matrix of data.
% q [integer] Order of the autocovariance function.
%
% OUTPUTS
% autocov [double] m*m*(q+1) array, autocovariance function.
%
% SPECIAL REQUIREMENTS
% Copyright (C) 2009-2017 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/>.
[T,m] = size(data);
autocov = zeros(m,m,q+1);
demeaned_data = data - repmat(mean(data),T,1);
for i = 0:q
autocov(:,:,i+1) = transpose(demeaned_data(1:T-i,:))*demeaned_data(i+1:T,:);
end
autocov = autocov/T;
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