Mercurial > octave
view scripts/signal/autoreg_matrix.m @ 31054:201e29541ef5 stable
NEWS.7.md: Clarify whitespace rules with inplace and binary operators (bug #62552).
author | Markus Mützel <markus.muetzel@gmx.de> |
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date | Thu, 02 Jun 2022 14:47:55 +0200 |
parents | 796f54d4ddbf |
children | 5d3faba0342e |
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######################################################################## ## ## Copyright (C) 1995-2022 The Octave Project Developers ## ## See the file COPYRIGHT.md in the top-level directory of this ## distribution or <https://octave.org/copyright/>. ## ## This file is part of Octave. ## ## Octave 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. ## ## Octave 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 Octave; see the file COPYING. If not, see ## <https://www.gnu.org/licenses/>. ## ######################################################################## ## -*- texinfo -*- ## @deftypefn {} {} autoreg_matrix (@var{y}, @var{k}) ## Given a time series (vector) @var{y}, return a matrix with ones in the first ## column and the first @var{k} lagged values of @var{y} in the other columns. ## ## In other words, for @var{t} > @var{k}, ## @code{[1, @var{y}(@var{t}-1), @dots{}, @var{y}(@var{t}-@var{k})]} is the ## t-th row of the result. ## ## The resulting matrix may be used as a regressor matrix in autoregressions. ## @end deftypefn function X = autoreg_matrix (y, k) if (nargin != 2) print_usage (); endif if (! (isvector (y))) error ("autoreg_matrix: Y must be a vector"); endif T = length (y); y = reshape (y, T, 1); X = ones (T, k+1); for j = 1 : k X(:, j+1) = [(zeros (j, 1)); y(1:T-j)]; endfor endfunction %!test %! K = 4; %! A = zeros (1,K+1); %! A(1) = 1; %! B = eye (K+1); %! B(:,1) = 1; %! assert (autoreg_matrix (A,K), B); %!error <Invalid call> autoreg_matrix () %!error <Invalid call> autoreg_matrix (1) %!error autoreg_matrix (ones (4,1), 5)