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## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
##
## This program 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 2, or (at your option)
## any later version.
##
## This program 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 this file. If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
## usage: autocov (X [, h])
##
## returns the autocovariances from lag 0 to h of vector X.
## If h is omitted, all autocovariances are computed.
## If X is a matrix, the autocovariances of every single column are
## computed.
## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
## Description: Compute autocovariances
function retval = autocov (X, h)
[n, c] = size (X);
if (is_vector (X))
n = length (X);
c = 1;
X = reshape (X, n, 1);
endif
X = center (X);
if (nargin == 1)
h = n - 1;
endif
retval = zeros (h + 1, c);
unwind_protect
oldpcv = prefer_column_vectors;
prefer_column_vectors = "false";
for i = 0 : h
retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))) / n;
endfor
unwind_protect_cleanup
prefer_column_vectors = oldpcv;
end_unwind_protect
endfunction
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