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1 function [AutoCov,AutoCorr,MX,E,NC]=invest0(Y,Pmax,Mode); |
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2 % First Investigation of a signal (time series) - automated part |
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3 % [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(Y,Pmax); |
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4 % |
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5 % [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(AutoCov,Pmax,Mode); |
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6 % |
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7 % |
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8 % Y time series |
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9 % Pmax maximal order (optional) |
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10 % |
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11 % AutoCov Autocorrelation |
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12 % AutoCorr normalized Autocorrelation |
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13 % PartACF Partial Autocorrelation |
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14 % ARPMX Autoregressive Parameter for order Pmax-1 |
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15 % E Error function E(p) |
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16 % NC Number of values (length-missing values) |
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17 % |
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18 % REFERENCES: |
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19 % P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991. |
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20 % M.S. Grewal and A.P. Andrews "Kalman Filtering" Prentice Hall, 1993. |
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21 % S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996. |
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22 % M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981. |
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23 % W.S. Wei "Time Series Analysis" Addison Wesley, 1990. |
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24 |
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25 % $Id$ |
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26 % Copyright (C) 1998-2003,2008,2010 by Alois Schloegl <alois.schloegl@gmail.com> |
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27 % This is part of the TSA-toolbox. See also |
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28 % http://biosig-consulting.com/matlab/tsa/ |
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29 % |
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30 % This program is free software: you can redistribute it and/or modify |
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31 % it under the terms of the GNU General Public License as published by |
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32 % the Free Software Foundation, either version 3 of the License, or |
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33 % (at your option) any later version. |
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34 % |
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35 % This program is distributed in the hope that it will be useful, |
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36 % but WITHOUT ANY WARRANTY; without even the implied warranty of |
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37 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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38 % GNU General Public License for more details. |
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39 % |
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40 % You should have received a copy of the GNU General Public License |
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41 % along with this program. If not, see <http://www.gnu.org/licenses/>. |
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42 |
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43 if nargin<3 |
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44 Mode=0; |
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45 else |
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46 Mode=1; |
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47 end; |
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48 |
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49 [nr,nc]=size(Y); |
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50 NC = sumskipnan(real(~isnan(Y)),2); % number of valid components (data points) |
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51 |
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52 if Mode==0 |
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53 if nargin<2, Pmax = min([100 nc/3]); end; |
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54 M = min(Pmax,nc-1); |
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55 AutoCov = acovf(Y,M); |
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56 else |
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57 AutoCov=Y; |
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58 M = min(Pmax,nc-1); |
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59 nc = Pmax; |
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60 %M=size(AutoCov,2)-1; |
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61 end; |
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62 |
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63 AutoCorr = AutoCov(:,2:M+1)./AutoCov(:,ones(M,1)); |
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64 |
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65 if 1,Pmax<100; % this needs change of sinvest1 |
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66 K=M-1; |
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67 [MX,E]=lattice(Y,Pmax); |
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68 %[MX,E]=ulsar(Y,Pmax); |
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69 %[MX,E]=durlev(AutoCov); |
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70 % ARP=MX(:,K*(K-1)/2+(1:K)); |
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71 % PartACF =MX(:,(1:K).*(2:K+1)/2); |
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72 else %if nargout > 2 |
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73 [ARP,RC,E]=lattice(Y,Pmax); |
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74 %[ARP,PartACF,E]=durlev(AutoCov); |
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75 %MX=[ARP,RC]; |
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76 end; |
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77 |
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78 |
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79 |
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