## 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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