Mercurial > hg > octave-lyh
annotate scripts/signal/diffpara.m @ 14868:5d3a684236b0
maint: Use Octave coding conventions for cuddling parentheses in scripts directory
* lin2mu.m, loadaudio.m, wavread.m, accumarray.m, bicubic.m, celldisp.m,
colon.m, cplxpair.m, dblquad.m, divergence.m, genvarname.m, gradient.m,
int2str.m, interp1.m, interp1q.m, interp2.m, interpn.m, loadobj.m, nthargout.m,
__isequal__.m, __splinen__.m, quadgk.m, quadl.m, quadv.m, rat.m, rot90.m,
rotdim.m, saveobj.m, subsindex.m, triplequad.m, delaunay3.m, griddata.m,
inpolygon.m, tsearchn.m, voronoi.m, get_first_help_sentence.m, which.m,
gray2ind.m, pink.m, dlmwrite.m, strread.m, textread.m, textscan.m, housh.m,
ishermitian.m, issymmetric.m, krylov.m, logm.m, null.m, rref.m,
compare_versions.m, copyfile.m, dump_prefs.m, edit.m, fileparts.m,
getappdata.m, isappdata.m, movefile.m, orderfields.m, parseparams.m,
__xzip__.m, rmappdata.m, setappdata.m, swapbytes.m, unpack.m, ver.m, fminbnd.m,
fminunc.m, fsolve.m, glpk.m, lsqnonneg.m, qp.m, sqp.m, configure_make.m,
copy_files.m, describe.m, get_description.m, get_forge_pkg.m, install.m,
installed_packages.m, is_architecture_dependent.m, load_package_dirs.m,
print_package_description.m, rebuild.m, repackage.m, save_order.m, shell.m,
allchild.m, ancestor.m, area.m, axes.m, axis.m, clabel.m, close.m, colorbar.m,
comet.m, comet3.m, contour.m, cylinder.m, ezmesh.m, ezsurf.m, findobj.m,
fplot.m, hist.m, isocolors.m, isonormals.m, isosurface.m, isprop.m, legend.m,
mesh.m, meshz.m, pareto.m, pcolor.m, peaks.m, plot3.m, plotmatrix.m, plotyy.m,
polar.m, print.m, __add_datasource__.m, __add_default_menu__.m,
__axes_limits__.m, __bar__.m, __clabel__.m, __contour__.m, __errcomm__.m,
__errplot__.m, __ezplot__.m, __file_filter__.m, __fltk_print__.m,
__ghostscript__.m, __gnuplot_print__.m, __go_draw_axes__.m,
__go_draw_figure__.m, __interp_cube__.m, __marching_cube__.m, __patch__.m,
__pie__.m, __plt__.m, __print_parse_opts__.m, __quiver__.m, __scatter__.m,
__stem__.m, __tight_eps_bbox__.m, __uigetdir_fltk__.m, __uigetfile_fltk__.m,
__uiputfile_fltk__.m, quiver.m, quiver3.m, rectangle.m, refreshdata.m,
ribbon.m, scatter.m, semilogy.m, shading.m, slice.m, subplot.m, surface.m,
surfl.m, surfnorm.m, text.m, uigetfile.m, uiputfile.m, whitebg.m, deconv.m,
mkpp.m, pchip.m, polyaffine.m, polyder.m, polygcd.m, polyout.m, polyval.m,
ppint.m, ppjumps.m, ppval.m, residue.m, roots.m, spline.m, splinefit.m,
addpref.m, getpref.m, setpref.m, ismember.m, setxor.m, arch_fit.m, arch_rnd.m,
arch_test.m, autoreg_matrix.m, diffpara.m, fftconv.m, filter2.m, hanning.m,
hurst.m, periodogram.m, triangle_sw.m, sinc.m, spectral_xdf.m, spencer.m,
stft.m, synthesis.m, unwrap.m, yulewalker.m, bicgstab.m, gmres.m, pcg.m, pcr.m,
__sprand_impl__.m, speye.m, spfun.m, sprandn.m, spstats.m, svds.m,
treelayout.m, treeplot.m, bessel.m, factor.m, legendre.m, perms.m, primes.m,
magic.m, toeplitz.m, corr.m, cov.m, mean.m, median.m, mode.m, qqplot.m,
quantile.m, ranks.m, zscore.m, logistic_regression_likelihood.m,
bartlett_test.m, chisquare_test_homogeneity.m, chisquare_test_independence.m,
kolmogorov_smirnov_test.m, run_test.m, u_test.m, wilcoxon_test.m, z_test.m,
z_test_2.m, bin2dec.m, dec2base.m, mat2str.m, strcat.m, strchr.m, strjust.m,
strtok.m, substr.m, untabify.m, assert.m, demo.m, example.m, fail.m, speed.m,
test.m, now.m: Use Octave coding conventions for cuddling parentheses in
scripts directory.
author | Rik <octave@nomad.inbox5.com> |
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date | Tue, 17 Jul 2012 07:08:39 -0700 |
parents | 72c96de7a403 |
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1 ## Copyright (C) 1995-2012 Friedrich Leisch |
3426 | 2 ## |
3922 | 3 ## This file is part of Octave. |
4 ## | |
5 ## Octave is free software; you can redistribute it and/or modify it | |
6 ## under the terms of the GNU General Public License as published by | |
7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
8 ## your option) any later version. | |
3426 | 9 ## |
3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
3191 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
3426 | 13 ## General Public License for more details. |
14 ## | |
3191 | 15 ## You should have received a copy of the GNU General Public License |
7016 | 16 ## along with Octave; see the file COPYING. If not, see |
17 ## <http://www.gnu.org/licenses/>. | |
3191 | 18 |
3449 | 19 ## -*- texinfo -*- |
6547 | 20 ## @deftypefn {Function File} {[@var{d}, @var{dd}] =} diffpara (@var{x}, @var{a}, @var{b}) |
3449 | 21 ## Return the estimator @var{d} for the differencing parameter of an |
3191 | 22 ## integrated time series. |
23 ## | |
3499 | 24 ## The frequencies from @math{[2*pi*a/t, 2*pi*b/T]} are used for the |
25 ## estimation. If @var{b} is omitted, the interval | |
26 ## @math{[2*pi/T, 2*pi*a/T]} is used. If both @var{b} and @var{a} are | |
27 ## omitted then @math{a = 0.5 * sqrt (T)} and @math{b = 1.5 * sqrt (T)} | |
28 ## is used, where @math{T} is the sample size. If @var{x} is a matrix, | |
29 ## the differencing parameter of each column is estimated. | |
3191 | 30 ## |
3449 | 31 ## The estimators for all frequencies in the intervals |
3499 | 32 ## described above is returned in @var{dd}. The value of @var{d} is |
33 ## simply the mean of @var{dd}. | |
3191 | 34 ## |
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35 ## Reference: P.J. Brockwell & R.A. Davis. @cite{Time Series: |
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36 ## Theory and Methods}. Springer 1987. |
3449 | 37 ## @end deftypefn |
3426 | 38 |
3457 | 39 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
40 ## Description: Estimate the fractional differencing parameter | |
3191 | 41 |
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42 function [d, dd] = diffpara (x, a, b) |
3426 | 43 |
3191 | 44 if ((nargin < 1) || (nargin > 3)) |
6046 | 45 print_usage (); |
3191 | 46 else |
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47 if (isvector (x)) |
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48 n = length (x); |
3191 | 49 k = 1; |
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50 x = reshape (x, n, 1); |
3191 | 51 else |
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52 [n, k] = size (x); |
3191 | 53 endif |
54 if (nargin == 1) | |
55 a = 0.5 * sqrt (n); | |
56 b = 1.5 * sqrt (n); | |
57 elseif (nargin == 2) | |
58 b = a; | |
59 a = 1; | |
60 endif | |
61 endif | |
3426 | 62 |
4030 | 63 if (! (isscalar (a) && isscalar (b))) |
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64 error ("diffpara: A and B must be scalars"); |
3191 | 65 endif |
3426 | 66 |
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67 dd = zeros (b - a + 1, k); |
3426 | 68 |
3191 | 69 for l = 1:k |
3426 | 70 |
3191 | 71 w = 2 * pi * (1 : n-1) / n; |
3426 | 72 |
3457 | 73 x = 2 * log (abs (1 - exp (-i*w))); |
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74 y = log (periodogram (x(2:n,l))); |
3426 | 75 |
3191 | 76 x = center (x); |
77 y = center (y); | |
3426 | 78 |
3191 | 79 for m = a:b |
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80 dd(m-a+1) = - x(1:m) * y(1:m) / sumsq (x(1:m)); |
3191 | 81 endfor |
3426 | 82 |
3191 | 83 endfor |
3426 | 84 |
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85 d = mean (dd); |
3426 | 86 |
3191 | 87 endfunction |
88 |