covariog.m

来自「Neural Network in Finance (神经网络在金融界:赢得预言」· M 代码 · 共 25 行

function c=covariog(X,maxtau);
%COVARIOG    Computes covariograms.
%            c=covariog(x,maxtau)  calculates the covariogram for each
%            column of the T x n matrix X where
%
%              c(tau,:)=cov( X(t,:), X(t-tau,:) ),  tau=-maxtau,...,maxtau
%
%            Thus, the ith column of c is the covariogram for the ith
%            column of X, i=1,...n.

%            Ellen R. McGrattan, 11-13-87
%
[T,n]=size(X);
if T-maxtau<=0;
  str='The number of observations in the time series must be larger than tau';
  error(str);
end;
for i=1:n;
  for j=1:maxtau+1;
    vcov=cov([X(j:T,i),X(1:T-j+1,i)]);
    c(j,i)=vcov(2,1);
  end;
end;
c=[c(maxtau+1:-1:2,:);c];