Calculating c mature in MATLAB. How can i solve it? - matlab

Question

i have a `x=(t*n) stock return matrix, that n is number of stock in a portfolio and t is time. I want calculate
c=M{[x(it)-k(x)][y(it)-k(y)]}
where x(it)
return of stock i in time t
and the median M is taken with respect to the joint CDF of x(t)
and y(t), and k(x) and k(y) are the population medians of x(t) and y(t)
for example:
x=[1 2 3;6 7 5;3 5 6;7 8 9]
x =
1 2 3
6 7 5
3 5 6
7 8 9
t=size(x,1)
n=size(x,2)
medianx=median(x)
medianx =
4.5000 6.0000 5.5000
q=x-medianx(ones(t,1),:)
q =
-3.5000 -4.0000 -2.5000
1.5000 1.0000 -0.5000
-1.5000 -1.0000 0.5000
2.5000 2.0000 3.5000
I can do this to here and I don't know how can i reach c matrix in matlab. I calculate c manually that:
c =
4.2500 3.2500 4.0000
3.2500 2.5000 3.2500
4.0000 3.2500 3.2500
where
c(11)=median of(column1*colum1 of matrix q)=4.25
c(22)=median of(column2*colum2 of matrix q)=2.5
c(33)=median of(column3*colum3 of matrix q)=3.25
c(12) & c(21)=median of(column1*column2 of matrix q)=3.25
c(13) & c(31)=median of(column1*column3 of matrix q)=4
c(23) & c(32)=median of(column2*column3 of matrix q)=3.25
notice that i have a t*n matrix and matrix x just is a example. thanks

Answer 1

You can calculate c from q using this:
c=zeros(3,3); %Pre-allocation
for m=1:3
for n=1:3
c(m,n)= median(q(:,m).*q(:,n));
end
end