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annotate scripts/signal/yulewalker.m @ 7017:a1dbe9d80eee

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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} {[@var{a}, @var{v}] =} yulewalker (@var{c})
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22 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c}
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23 ## of autocovariances @code{[gamma_0, ..., gamma_p]}.
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24 ##
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25 ## Returns the AR coefficients, @var{a}, and the variance of white
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26 ## noise, @var{v}.
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27 ## @end deftypefn
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29 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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30 ## Description: Fit AR model by Yule-Walker method
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31
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32 function [a, v] = yulewalker (c)
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33
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34 p = length (c) - 1;
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35
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36 if (columns (c) > 1)
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37 c = c';
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38 endif
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39
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40 cp = c(2 : p+1);
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41 CP = zeros(p, p);
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42
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43 for i = 1:p
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44 for j = 1:p
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45 CP (i, j) = c (abs (i-j) + 1);
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46 endfor
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47 endfor
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49 a = inv (CP) * cp;
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50 v = c(1) - a' * cp;
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51
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52 endfunction
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