Rewrote compute_cova and renamed it nancovariance. Added a new routine to test...

Rewrote compute_cova and renamed it nancovariance. Added a new routine to test if an array contain at least one NaN.

matlab/utilities/dataset/compute_cova.m → matlab/utilities/dataset/nancovariance.m

-function dataset_ = compute_cova(dataset_) 
-% Computes the covariance matrix of the sample (possibly with missing observations).
+function CovarianceMatrix = nancovariance(data)
+% Computes the covariance matrix of a sample (possibly with missing observations).
 
 %@info:
-%! @deftypefn {Function File} {@var{dataset_} =} compute_corr(@var{dataset_})
-%! @anchor{compute_corr}
-%! This function computes covariance matrix of the sample (possibly with missing observations).
+%! @deftypefn {Function File} {@var{CovarianceMatrix} =} compute_corr(@var{data})
+%! @anchor{compute_cova}
+%! This function computes covariance matrix of a sample defined by a dseries object (possibly with missing observations).
 %!
 %! @strong{Inputs}
 %! @table @var
-%! @item dataset_
-%! Dynare structure describing the dataset, built by @ref{initialize_dataset}
+%! @item data
+%! a T*N array of real numbers.
 %! @end table
 %!
 %! @strong{Outputs}
 %! @table @var
-%! @item dataset_
-%! Dynare structure describing the dataset, built by @ref{initialize_dataset}
+%! @item CovarianceMatrix
+%! Array of real numbers.
 %! @end table
-%! 
-%! @strong{This function is called by:} 
+%!
+%! @strong{This function is called by:}
 %! @ref{descriptive_statistics}.
-%! 
+%!
 %! @strong{This function calls:}
 %! @ref{ndim}, @ref{demean}, @ref{nandemean}.
-%!    
-%! @strong{Remark 1.} On exit, a new field is appended to the structure: @code{dataset_.descriptive.cova} is a 
+%!
+%! @strong{Remark 1.} On exit, a new field is appended to the structure: @code{dataset_.descriptive.cova} is a
 %! @tex{n\times n} vector (where @tex{n} is the number of observed variables as defined by @code{dataset_.info.nvobs}).
-%!    
+%!
 %! @end deftypefn
 %@eod:
-    
-% Copyright (C) 2011-2012 Dynare Team
-%    
+
+% Copyright (C) 2011-2014 Dynare Team
+%
 % This file is part of Dynare.
 %
 % Dynare is free software: you can redistribute it and/or modify
@@ -47,21 +47,55 @@ function dataset_ = compute_cova(dataset_)
 % You should have received a copy of the GNU General Public License
 % along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
 
-% Original author: stephane DOT adjemian AT univ DASH lemans DOT fr
-
-dataset_.descriptive.cova = zeros(dataset_.nvobs);
-
-data = transpose(dataset_.data);
+% Initialize the output.
+CovarianceMatrix = zeros(size(data,2));
 
-for i=1:dataset_.info.nvobs
-    for j=i:dataset_.info.nvobs
-        if dataset_.missing.state
-            dataset_.descriptive.cova(i,j) = nanmean(nandemean(data(:,i)).*nandemean(data(:,j)));
-        else
-            dataset_.descriptive.cova(i,j) = mean(demean(data(:,i)).*demean(data(:,j)));
-        end
-        if j>i
-            dataset_.descriptive.cova(j,i) = dataset_.descriptive.cova(i,j);
+if isanynan(data)
+    data = bsxfun(@minus,data,nanmean(data));
+    for i=1:size(data,2)
+        for j=i:size(data,2)
+            CovarianceMatrix(i,j) = nanmean(data(:,i).*data(:,j));
+            if j>i
+                CovarianceMatrix(j,i) = CovarianceMatrix(i,j);
+            end
         end
     end
-end
\ No newline at end of file
+else
+    data = bsxfun(@minus,data,mean(data));
+    CovarianceMatrix = (transpose(data)*data)/size(data,1);
+end
+
+%@test:1
+%$
+%$ % Define a dataset.
+%$ data1 = randn(10000000,2);
+%$
+%$ % Same dataset with missing observations.
+%$ data2 = data1;
+%$ data2(45,1) = NaN;
+%$ data2(57,2) = NaN;
+%$ data2(367,:) = NaN(1,2);
+%$
+%$ t = zeros(2,1);
+%$
+%$ % Call the tested routine.
+%$ try
+%$     c1 = nancovariance(data1);
+%$     t(1) = 1;
+%$ catch
+%$     t(1) = 0;
+%$ end
+%$ try
+%$     c2 = nancovariance(data2);
+%$     t(2) = 1;
+%$ catch
+%$     t(2) = 0;
+%$ end
+%$
+%$ if t(1) && t(2)
+%$     t(3) = max(max(abs(c1-c2)))<1e-4;
+%$ end
+%$
+%$ % Check the results.
+%$ T = all(t);
+%@eof:1
\ No newline at end of file

matlab/utilities/general/isanynan.m

+function yes = isanynan(array)
+% Return one if the array contains at least one NaN, 0 otherwise.
+
+% Copyright (C) 2011-2014 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare 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.
+%
+% Dynare 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 Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+yes = any(isnan(array(:)));
\ No newline at end of file