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1 ## Copyright (C) 1995, 1998, 2000, 2002, 2005, 2006, 2007 |
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2 ## Friedrich Leisch |
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3 ## |
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4 ## This file is part of Octave. |
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5 ## |
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6 ## Octave is free software; you can redistribute it and/or modify it |
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7 ## under the terms of the GNU General Public License as published by |
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8 ## the Free Software Foundation; either version 3 of the License, or (at |
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9 ## your option) any later version. |
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10 ## |
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11 ## Octave is distributed in the hope that it will be useful, but |
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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14 ## General Public License for more details. |
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15 ## |
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16 ## You should have received a copy of the GNU General Public License |
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17 ## along with Octave; see the file COPYING. If not, see |
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18 ## <http://www.gnu.org/licenses/>. |
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19 |
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20 ## -*- texinfo -*- |
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21 ## @deftypefn {Function File} {} durbinlevinson (@var{c}, @var{oldphi}, @var{oldv}) |
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22 ## Perform one step of the Durbin-Levinson algorithm. |
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23 ## |
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24 ## The vector @var{c} specifies the autocovariances @code{[gamma_0, @dots{}, |
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25 ## gamma_t]} from lag 0 to @var{t}, @var{oldphi} specifies the |
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26 ## coefficients based on @var{c}(@var{t}-1) and @var{oldv} specifies the |
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27 ## corresponding error. |
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28 ## |
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29 ## If @var{oldphi} and @var{oldv} are omitted, all steps from 1 to |
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30 ## @var{t} of the algorithm are performed. |
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31 ## @end deftypefn |
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32 |
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33 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
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34 ## Description: Perform one step of the Durbin-Levinson algorithm |
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35 |
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36 function [newphi, newv] = durbinlevinson (c, oldphi, oldv) |
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37 |
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38 if (! ((nargin == 1) || (nargin == 3))) |
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39 print_usage (); |
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40 endif |
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41 |
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42 if (columns (c) > 1) |
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43 c = c'; |
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44 endif |
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45 |
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46 newphi = 0; |
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47 newv = 0; |
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48 |
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49 if (nargin == 3) |
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50 |
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51 t = length (oldphi) + 1; |
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52 |
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53 if (length (c) < t+1) |
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54 error ("durbilevinson: c too small"); |
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55 endif |
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56 |
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57 if (oldv == 0) |
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58 error ("durbinlevinson: oldv = 0"); |
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59 endif |
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60 |
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61 if (rows (oldphi) > 1) |
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62 oldphi = oldphi'; |
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63 endif |
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64 |
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65 newphi = zeros (1, t); |
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66 newphi(1) = (c(t+1) - oldphi * c(2:t)) / oldv; |
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67 for i = 2 : t |
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68 newphi(i) = oldphi(i-1) - newphi(1) * oldphi(t-i+1); |
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69 endfor |
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70 newv = (1 - newphi(1)^2) * oldv; |
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71 |
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72 elseif(nargin == 1) |
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73 |
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74 tt = length (c)-1; |
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75 oldphi = c(2) / c(1); |
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76 oldv = (1 - oldphi^2) * c(1); |
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77 |
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78 for t = 2 : tt |
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79 |
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80 newphi = zeros (1, t); |
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81 newphi(1) = (c(t+1) - oldphi * c(2:t)) / oldv; |
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82 for i = 2 : t |
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83 newphi(i) = oldphi(i-1) - newphi(1) * oldphi(t-i+1); |
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84 endfor |
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85 newv = (1 - newphi(1)^2) * oldv; |
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86 |
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87 oldv = newv; |
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88 oldphi = newphi; |
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89 |
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90 endfor |
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91 |
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92 endif |
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93 |
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94 endfunction |
