## Mercurial > hg > octave-max

### view scripts/signal/yulewalker.m @ 15489:481417a57a2d

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improve sign and signbit docs
* mappers.cc (Fsign): Note sign (-0) is 0. Add @seealso for signbit.
(Fsignbit): Add @seealso for sign.

author | John W. Eaton <jwe@octave.org> |
---|---|

date | Thu, 04 Oct 2012 10:20:59 -0400 |

parents | 5d3a684236b0 |

children |

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## Copyright (C) 1995-2012 Friedrich Leisch ## ## This file is part of Octave. ## ## Octave is free software; you can redistribute it and/or modify it ## under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 3 of the License, or (at ## your option) any later version. ## ## Octave is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with Octave; see the file COPYING. If not, see ## <http://www.gnu.org/licenses/>. ## -*- texinfo -*- ## @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c}) ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} ## of autocovariances @code{[gamma_0, @dots{}, gamma_p]}. ## ## Returns the AR coefficients, @var{a}, and the variance of white ## noise, @var{v}. ## @end deftypefn ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> ## Description: Fit AR model by Yule-Walker method function [a, v] = yulewalker (c) if (nargin != 1) print_usage (); endif p = length (c) - 1; if (columns (c) > 1) c = c'; endif cp = c(2 : p+1); CP = zeros (p, p); for i = 1:p for j = 1:p CP (i, j) = c (abs (i-j) + 1); endfor endfor a = inv (CP) * cp; v = c(1) - a' * cp; endfunction