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annotate scripts/signal/yulewalker.m @ 20815:a260a6acb70f

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fix test failures introduced by a22d8a2eb0e5 * scripts/ode/private/integrate_adaptive.m: fix stepping backwards, fix invocation of OutputFcn, fix text of some error messages * scripts/ode/private/integrate_const.m: remove use of option OutputSave * scripts/ode/private/integrate_n_steps.m: remove use of option OutputSave
author Carlo de Falco <carlo.defalco@polimi.it>
date Sun, 11 Oct 2015 23:09:01 +0200
parents f1d0f506ee78
children
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19898
4197fc428c7d maint: Update copyright notices for 2015.
John W. Eaton <jwe@octave.org>
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1 ## Copyright (C) 1995-2015 Friedrich Leisch
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2 ##
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3 ## This file is part of Octave.
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4 ##
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5 ## Octave is free software; you can redistribute it and/or modify it
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6 ## under the terms of the GNU General Public License as published by
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7 ## the Free Software Foundation; either version 3 of the License, or (at
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8 ## your option) any later version.
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9 ##
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10 ## Octave is distributed in the hope that it will be useful, but
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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13 ## General Public License for more details.
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14 ##
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15 ## You should have received a copy of the GNU General Public License
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16 ## along with Octave; see the file COPYING. If not, see
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17 ## <http://www.gnu.org/licenses/>.
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18
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19 ## -*- texinfo -*-
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20 ## @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c})
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21 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} of
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22 ## autocovariances @code{[gamma_0, @dots{}, gamma_p]}.
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23 ##
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24 ## Returns the AR coefficients, @var{a}, and the variance of white noise,
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25 ## @var{v}.
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26 ## @end deftypefn
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28 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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29 ## Description: Fit AR model by Yule-Walker method
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30
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31 function [a, v] = yulewalker (c)
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32
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33 if (nargin != 1)
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34 print_usage ();
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35 endif
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36
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37 p = length (c) - 1;
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38
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39 if (columns (c) > 1)
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40 c = c';
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41 endif
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42
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43 cp = c(2 : p+1);
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44 CP = zeros (p, p);
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45
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46 for i = 1:p
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47 for j = 1:p
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48 CP (i, j) = c (abs (i-j) + 1);
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49 endfor
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50 endfor
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52 a = inv (CP) * cp;
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53 v = c(1) - a' * cp;
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54
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55 endfunction
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