blob: 2cf7e74d671eeef0f87275a43acc2d1dcd34b2c2 (
plain)
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
|
// z: [y u] (Column matrix)
// ---- ----
// | |
// | ryy(0) ryy(1) ... ryy(len) |
// | |
// v = | ruy(0) ruy(1) ... ruy(len) |
// | |
// | ryu(0) ryu(1) ... ryu(len) |
// | |
// | ruu(0) ruu(1) ... ruu(len) |
// | |
// ---- ----
// No. of lags
function v = covf(z,n)
[r c] = size(z);
y1 = z(:,1);
u1 = z(:,2);
if n>r
// disp('Incorrect number of lags');
n = r;
else
r = n;
end;
ryu = corr(y1,u1,r);
ruy = corr(u1,y1,r);;
ryy = corr(y1,r);
ruu = corr(u1,r);
v = [ryy; ruy; ryu; ruu]
endfunction;
|
