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author | schloegl |
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date | Thu, 02 Apr 2015 10:00:34 +0000 |
parents | 18ff3d258eea |
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function [PARCOR,ARP, PE] = parcor(AutoCov); % estimates partial autocorrelation coefficients % Multiple channels can be used (one per row). % % [PARCOR, AR, PE] = parcor(AutoCov); % calculates Partial autocorrelation, autoregressive coefficients and residual error variance from the Autocorrelation function. % % [PARCOR] = parcor(acovf(x,p)); % calculates the Partial Autocorrelation coefficients of the data series x up to order p % % INPUT: % AutoCov Autocorrelation function for lag=0:P % % OUTPUT % AR autoregressive model parameter % PARCOR partial correlation coefficients (= -reflection coefficients) % PE remaining error variance % % All input and output parameters are organized in rows, one row % corresponds to the parameters of one channel. % The PARCOR coefficients are the negative reflection coefficients. % A significance test is implemented in PACF. % % see also: PACF ACOVF ACORF DURLEV AC2RC % % REFERENCES: % P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991. % 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) 1997-2002,2008 by Alois Schloegl <alois.schloegl@gmail.com> % % 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/>. [ARP,PARCOR,PE] = durlev(AutoCov); PARCOR=-PARCOR;