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1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch |
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2 ## |
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3 ## This program is free software; you can redistribute it and/or modify |
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4 ## it under the terms of the GNU General Public License as published by |
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5 ## the Free Software Foundation; either version 2, or (at your option) |
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6 ## any later version. |
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7 ## |
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8 ## This program is distributed in the hope that it will be useful, but |
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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11 ## General Public License for more details. |
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12 ## |
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13 ## You should have received a copy of the GNU General Public License |
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14 ## along with this file. If not, write to the Free Software Foundation, |
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. |
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16 |
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17 ## usage: [a, v] = yulewalker (c) |
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18 ## |
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19 ## fits an AR (p)-model with Yule-Walker estimates. |
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20 ## c = [gamma_0, ..., gamma_p] autocovariances |
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21 ## a .... AR coefficients |
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22 ## v .... variance of white noise |
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23 |
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24 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
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25 ## Description: Fit AR model by Yule-Walker method |
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26 |
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27 function [a, v] = yulewalker (c) |
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28 |
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29 p = length (c) - 1; |
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30 |
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31 if (columns (c) > 1) |
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32 c = c'; |
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33 endif |
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34 |
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35 cp = c(2 : p+1); |
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36 CP = zeros(p, p); |
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37 |
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38 for i = 1:p |
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39 for j = 1:p |
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40 CP (i, j) = c (abs (i-j) + 1); |
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41 endfor |
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42 endfor |
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43 |
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44 a = inv (CP) * cp; |
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45 v = c(1) - a' * cp; |
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46 |
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47 endfunction |
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48 |
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49 |
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50 |
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51 |
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52 |
