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[project @ 2007-10-12 21:27:11 by jwe]
author jwe
date Fri, 12 Oct 2007 21:27:37 +0000
parents 93c65f2a5668
children f084ba47812b
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1 ## Copyright (C) 1995, 1996, 1997, 1998, 2000, 2002, 2005, 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} {} fractdiff (@var{x}, @var{d})
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22 ## Compute the fractional differences @math{(1-L)^d x} where @math{L}
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23 ## denotes the lag-operator and @math{d} is greater than -1.
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24 ## @end deftypefn
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25
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26 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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27 ## Description: Compute fractional differences
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28
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29 function retval = fractdiff (x, d)
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30
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31 N = 100;
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32
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33 if (! isvector (x))
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34 error ("fractdiff: x must be a vector")
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35 endif
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36
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37 if (! isscalar (d))
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38 error ("fractdiff: d must be a scalar")
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39 endif
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40
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41
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42 if (d >= 1)
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43 for k = 1 : d
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44 x = x(2 : length (x)) - x(1 : length (x) - 1);
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45 endfor
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46 endif
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47
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48 if (d > -1)
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49
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50 d = rem (d, 1);
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51
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52 if (d != 0)
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53 n = (0 : N)';
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54 w = real (gamma (-d+n) ./ gamma (-d) ./ gamma (n+1));
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55 retval = fftfilt (w, x);
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56 retval = retval(1 : length (x));
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57 else
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58 retval = x;
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59 endif
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60
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61 else
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62 error ("fractdiff: d must be > -1");
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63
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64 endif
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65
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66 endfunction