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annotate scripts/signal/autoreg_matrix.m @ 6046:34f96dd5441b

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[project @ 2006-10-10 16:10:25 by jwe]
author jwe
date Tue, 10 Oct 2006 16:10:31 +0000
parents 2a16423e4aa0
children 4fb053f24fd6
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1 ## Copyright (C) 1995, 1996, 1997 Kurt Hornik
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 2, or (at your option)
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8 ## any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, write to the Free
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17 ## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
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18 ## 02110-1301, USA.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {} autoreg_matrix (@var{y}, @var{k})
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22 ## Given a time series (vector) @var{y}, return a matrix with ones in the
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23 ## first column and the first @var{k} lagged values of @var{y} in the
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24 ## other columns. I.e., for @var{t} > @var{k}, @code{[1,
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25 ## @var{y}(@var{t}-1), ..., @var{y}(@var{t}-@var{k})]} is the t-th row
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26 ## of the result. The resulting matrix may be used as a regressor matrix
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27 ## in autoregressions.
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28 ## @end deftypefn
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30 ## Author: KH <Kurt.Hornik@wu-wien.ac.at>
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31 ## Description: Design matrix for autoregressions
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33 function X = autoreg_matrix (y, k)
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35 if (nargin != 2)
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36 print_usage ();
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37 endif
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39 if (! (isvector (y)))
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40 error ("autoreg_matrix: y must be a vector");
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41 endif
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42
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43 T = length (y);
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44 y = reshape (y, T, 1);
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45 X = ones (T, k+1);
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46 for j = 1 : k;
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47 X(:, j+1) = [(zeros (j, 1)); y(1:T-j)];
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48 endfor
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49
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50 endfunction