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annotate scripts/signal/autocov.m @ 3191:e4f4b2d26ee9

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[project @ 1998-10-23 05:43:59 by jwe]
author jwe
date Fri, 23 Oct 1998 05:44:01 +0000
parents
children 041ea33fbbf4
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3191
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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: autocov (X [, h])
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18 ##
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19 ## returns the autocovariances from lag 0 to h of vector X.
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20 ## If h is omitted, all autocovariances are computed.
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21 ## If X is a matrix, the autocovariances of every single column are
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22 ## computed.
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23
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24 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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25 ## Description: Compute autocovariances
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26
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27 function retval = autocov (X, h)
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28
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29 [n c] = size (X);
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30
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31 if (is_vector (X))
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32 n = length (X);
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33 c = 1;
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34 X = reshape (X, n, 1);
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35 endif
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36
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37 X = center (X);
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38
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39 if (nargin == 1)
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40 h = n - 1;
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41 endif
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42
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43 retval = zeros (h + 1, c);
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44
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45 unwind_protect
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46
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47 oldpcv = prefer_column_vectors;
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48 prefer_column_vectors = "false";
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49
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50 for i = 0 : h
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51 retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))) / n;
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52 endfor
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53
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54 unwind_protect_cleanup
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55
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56 prefer_column_vectors = oldpcv;
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57
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58 end_unwind_protect
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59
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60 endfunction