I thought this would be fairly simple. I thought the diag function should be able to do this task. I have a 14x14x1045 matrix Ht, t=1,...,1045 simbolizes the number of observations. I merely want to extract the main daigonals of Ht for all t and store them in a new 3d matrix Dt which is also 14x14x1045 which contains the diagonal elements of every Ht and zeros in all other positions. However, when using the function diag(Ht) I get the following error: Error using diag First input must be 2D.
Is there a function that works like diag but for 3d matrices? I have no experience programing any functions. Could someone please provide a simple loop to make a function that fulfills this task in case no such function exists already?
I´m sorry if this question is too trivial, but I haven´t been able to find a specific answer and I seem not to be able to program such a function with my expertise level...
Thanks a lot for your help!