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author | schloegl |
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date | Thu, 02 Apr 2015 10:00:34 +0000 |
parents | 65a4be217166 |
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function [AutoCov,AutoCorr,MX,E,NC]=invest0(Y,Pmax,Mode); % First Investigation of a signal (time series) - automated part % [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(Y,Pmax); % % [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(AutoCov,Pmax,Mode); % % % Y time series % Pmax maximal order (optional) % % AutoCov Autocorrelation % AutoCorr normalized Autocorrelation % PartACF Partial Autocorrelation % ARPMX Autoregressive Parameter for order Pmax-1 % E Error function E(p) % NC Number of values (length-missing values) % % REFERENCES: % P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991. % M.S. Grewal and A.P. Andrews "Kalman Filtering" Prentice Hall, 1993. % S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996. % M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981. % W.S. Wei "Time Series Analysis" Addison Wesley, 1990. % $Id$ % Copyright (C) 1998-2003,2008,2010 by Alois Schloegl <alois.schloegl@gmail.com> % This is part of the TSA-toolbox. See also % http://biosig-consulting.com/matlab/tsa/ % % This program is free software: you can redistribute it and/or modify % it under the terms of the GNU General Public License as published by % the Free Software Foundation, either version 3 of the License, or % (at your option) any later version. % % This program is distributed in the hope that it will be useful, % but WITHOUT ANY WARRANTY; without even the implied warranty of % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the % GNU General Public License for more details. % % You should have received a copy of the GNU General Public License % along with this program. If not, see <http://www.gnu.org/licenses/>. if nargin<3 Mode=0; else Mode=1; end; [nr,nc]=size(Y); NC = sumskipnan(real(~isnan(Y)),2); % number of valid components (data points) if Mode==0 if nargin<2, Pmax = min([100 nc/3]); end; M = min(Pmax,nc-1); AutoCov = acovf(Y,M); else AutoCov=Y; M = min(Pmax,nc-1); nc = Pmax; %M=size(AutoCov,2)-1; end; AutoCorr = AutoCov(:,2:M+1)./AutoCov(:,ones(M,1)); if 1,Pmax<100; % this needs change of sinvest1 K=M-1; [MX,E]=lattice(Y,Pmax); %[MX,E]=ulsar(Y,Pmax); %[MX,E]=durlev(AutoCov); % ARP=MX(:,K*(K-1)/2+(1:K)); % PartACF =MX(:,(1:K).*(2:K+1)/2); else %if nargout > 2 [ARP,RC,E]=lattice(Y,Pmax); %[ARP,PartACF,E]=durlev(AutoCov); %MX=[ARP,RC]; end;