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comparison scripts/signal/diffpara.m @ 3499:3e3e14ad5149

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[project @ 2000-01-31 05:18:07 by jwe]
author jwe
date Mon, 31 Jan 2000 05:18:13 +0000
parents e031284eea27
children 38c61cbf086c
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3498:e391aeef2b3c 3499:3e3e14ad5149
13 ## You should have received a copy of the GNU General Public License 13 ## You should have received a copy of the GNU General Public License
14 ## along with this file. If not, write to the Free Software Foundation, 14 ## along with this file. If not, write to the Free Software Foundation,
15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. 15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
16 16
17 ## -*- texinfo -*- 17 ## -*- texinfo -*-
18 ## @deftypefn {Function File} {[@var{d}, @var{D}]} = diffpara (@var{x}, @var{a}, @var{b}) 18 ## @deftypefn {Function File} {[@var{d}, @var{dd}]} = diffpara (@var{x}, @var{a}, @var{b})
19 ## Return the estimator @var{d} for the differencing parameter of an 19 ## Return the estimator @var{d} for the differencing parameter of an
20 ## integrated time series. 20 ## integrated time series.
21 ## 21 ##
22 ## The frequencies from @code{[2*pi*@var{a}/@var{T}, 22 ## The frequencies from @math{[2*pi*a/t, 2*pi*b/T]} are used for the
23 ## 2*pi*@var{b}/@var{T}]} are used for the estimation. If @var{b} is 23 ## estimation. If @var{b} is omitted, the interval
24 ## omitted, the interval @code{[2*pi/@var{T}, 2*pi*@var{a}/@var{T}]} is 24 ## @math{[2*pi/T, 2*pi*a/T]} is used. If both @var{b} and @var{a} are
25 ## used. If both @var{b} and @var{a} are omitted then @code{@var{a} = 25 ## omitted then @math{a = 0.5 * sqrt (T)} and @math{b = 1.5 * sqrt (T)}
26 ## 0.5 * sqrt(@var{T})} and @code{@var{b} = 1.5 * sqrt(@var{T})} is 26 ## is used, where @math{T} is the sample size. If @var{x} is a matrix,
27 ## used, where @var{T} is the sample size. If @var{x} is a matrix, the 27 ## the differencing parameter of each column is estimated.
28 ## differencing parameter of each column is estimated.
29 ## 28 ##
30 ## The estimators for all frequencies in the intervals 29 ## The estimators for all frequencies in the intervals
31 ## described above is returned in @var{D}. The value of @var{d} is 30 ## described above is returned in @var{dd}. The value of @var{d} is
32 ## simply the mean of @var{D}. 31 ## simply the mean of @var{dd}.
33 ## 32 ##
34 ## Reference: Brockwell, Peter J. & Davis, Richard A. Time Series: 33 ## Reference: Brockwell, Peter J. & Davis, Richard A. Time Series:
35 ## Theory and Methods Springer 1987. 34 ## Theory and Methods Springer 1987.
36 ## @end deftypefn 35 ## @end deftypefn
37 36