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How to calculate the n period Element difference every in a matrix ?

Asked by Charles on 4 Apr 2019
Latest activity Answered by Image Analyst
on 4 Apr 2019
Hello. I have a matrix A, of size n x m, and second matrix of prices, matrix B same size.
I wish to find the difference between each element n periods apart in each colum of matrix A So I start from the last row and subtract the element 19 rows prior. This window should then move up one,.....a moving window
I then want to divide the resulting matrix of differences by the equivalent row of matrix B. Matrix B will of course be same dimension as resulting matrix. So we index into matrix B to extract a matrix which is 19 rows short from the top.
To do part 1, I found this and I am trying to understand and adapt it. I feel I could use the arrayfun function...but not 100 per cent sure how.
N = 19; diffmatrix = arrayfun(@(i) diff(a(i:i+n+1), a(i:i+n-1))

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1 Answer

Answer by Image Analyst
on 4 Apr 2019

Use conv() with a kernel that's like a column vector of [1;0;0;0;0;0;0;0;0;0;0;0;0;0;0;0;0;0;-1] (start with 1, then 17 zeros, then -1). Use the 'valid' option.

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