Home > freetb4matlab > signal > autoreg_matrix.m

autoreg_matrix

PURPOSE

% Given a time series (vector) @var{y}, return a matrix with ones in the

SYNOPSIS

function X = autoreg_matrix (y, k)

DESCRIPTION

% -*- texinfo -*-
% @deftypefn {Function File} {} 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.  I.e., 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

CROSS-REFERENCE INFORMATION

This function calls:

This function is called by:

arch_fit % Fit an ARCH regression model to the time series @var{y} using the
arch_test % For a linear regression model