matlab 因果分析,matlab非参数的格兰杰因果分析

代码1：deseason.m

function [rp,vp] = deseason(data,textdata);

days = flipud(textdata(:,1));

days = days(1:end-1);

volume = flipud(data(:,5));

price = flipud(data(:,6));

% convert dates to day numbers

daynums = datenum(days,1900);

s = datevec(daynums);

month = s(:,2,:,:,:,:);

subplot(3,2,1)

plot(daynums,log(price));

subplot(3,2,2)

plot(daynums,log(volume));

Ndata = length(price);

dayofweek = zeros(Ndata-1,5);

monthofyear = zeros(Ndata-1,11);

logret = zeros(Ndata-1,1);

logvolinc = zeros(Ndata-1,1);

jul = zeros(Ndata-1,1);

for i=2:Ndata,

logret(i-1) = log(price(i)) - log(price(i-1));

logvolinc(i-1) = 100*(log(volume(i)) - log(volume(i-1)));

jul(i-1) = datenum(daynums(i));