Mercurial > octave-antonio
annotate scripts/signal/yulewalker.m @ 20165:f1d0f506ee78 stable
doc: Update more docstrings to have one sentence summary as first line.
Reviewed optimization, polynomial, signal script directories.
* scripts/optimization/fminbnd.m, scripts/optimization/fminsearch.m,
scripts/optimization/fminunc.m, scripts/optimization/fsolve.m,
scripts/optimization/fzero.m, scripts/optimization/glpk.m,
scripts/optimization/lsqnonneg.m, scripts/optimization/pqpnonneg.m,
scripts/optimization/qp.m, scripts/optimization/sqp.m,
scripts/polynomial/compan.m, scripts/polynomial/mkpp.m,
scripts/polynomial/mpoles.m, scripts/polynomial/pchip.m,
scripts/polynomial/poly.m, scripts/polynomial/polyaffine.m,
scripts/polynomial/polyder.m, scripts/polynomial/polyeig.m,
scripts/polynomial/polyfit.m, scripts/polynomial/polygcd.m,
scripts/polynomial/polyint.m, scripts/polynomial/polyout.m,
scripts/polynomial/polyval.m, scripts/polynomial/ppder.m,
scripts/polynomial/ppint.m, scripts/polynomial/ppjumps.m,
scripts/polynomial/ppval.m, scripts/polynomial/residue.m,
scripts/polynomial/roots.m, scripts/polynomial/spline.m,
scripts/polynomial/splinefit.m, scripts/polynomial/unmkpp.m,
scripts/signal/arch_fit.m, scripts/signal/arch_rnd.m,
scripts/signal/arma_rnd.m, scripts/signal/autoreg_matrix.m,
scripts/signal/bartlett.m, scripts/signal/blackman.m, scripts/signal/detrend.m,
scripts/signal/diffpara.m, scripts/signal/durbinlevinson.m,
scripts/signal/fftconv.m, scripts/signal/fftfilt.m, scripts/signal/fftshift.m,
scripts/signal/filter2.m, scripts/signal/freqz.m, scripts/signal/hamming.m,
scripts/signal/hanning.m, scripts/signal/hurst.m, scripts/signal/ifftshift.m,
scripts/signal/periodogram.m, scripts/signal/sinc.m, scripts/signal/sinetone.m,
scripts/signal/sinewave.m, scripts/signal/spectral_adf.m,
scripts/signal/spectral_xdf.m, scripts/signal/spencer.m, scripts/signal/stft.m,
scripts/signal/synthesis.m, scripts/signal/unwrap.m,
scripts/signal/yulewalker.m:
Update more docstrings to have one sentence summary as first line.
| author | Rik <rik@octave.org> |
|---|---|
| date | Mon, 04 May 2015 21:50:57 -0700 |
| parents | 4197fc428c7d |
| children |
| rev | line source |
|---|---|
|
19697
4197fc428c7d
maint: Update copyright notices for 2015.
John W. Eaton <jwe@octave.org>
parents:
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diff
changeset
|
1 ## Copyright (C) 1995-2015 Friedrich Leisch |
| 3426 | 2 ## |
| 3922 | 3 ## This file is part of Octave. |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 3426 | 9 ## |
| 3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
| 3191 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 13 ## General Public License for more details. |
| 14 ## | |
| 3191 | 15 ## You should have received a copy of the GNU General Public License |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 3191 | 18 |
| 3449 | 19 ## -*- texinfo -*- |
| 20 ## @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c}) | |
|
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f1d0f506ee78
doc: Update more docstrings to have one sentence summary as first line.
Rik <rik@octave.org>
parents:
19697
diff
changeset
|
21 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} of |
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f1d0f506ee78
doc: Update more docstrings to have one sentence summary as first line.
Rik <rik@octave.org>
parents:
19697
diff
changeset
|
22 ## autocovariances @code{[gamma_0, @dots{}, gamma_p]}. |
| 3426 | 23 ## |
|
20165
f1d0f506ee78
doc: Update more docstrings to have one sentence summary as first line.
Rik <rik@octave.org>
parents:
19697
diff
changeset
|
24 ## Returns the AR coefficients, @var{a}, and the variance of white noise, |
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f1d0f506ee78
doc: Update more docstrings to have one sentence summary as first line.
Rik <rik@octave.org>
parents:
19697
diff
changeset
|
25 ## @var{v}. |
| 3449 | 26 ## @end deftypefn |
| 3426 | 27 |
| 3457 | 28 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 29 ## Description: Fit AR model by Yule-Walker method | |
| 3426 | 30 |
| 3191 | 31 function [a, v] = yulewalker (c) |
| 3426 | 32 |
| 7125 | 33 if (nargin != 1) |
| 34 print_usage (); | |
| 35 endif | |
| 36 | |
| 3191 | 37 p = length (c) - 1; |
| 3426 | 38 |
| 3191 | 39 if (columns (c) > 1) |
| 40 c = c'; | |
| 41 endif | |
| 3426 | 42 |
| 3191 | 43 cp = c(2 : p+1); |
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Rik <octave@nomad.inbox5.com>
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44 CP = zeros (p, p); |
| 3426 | 45 |
| 3191 | 46 for i = 1:p |
| 47 for j = 1:p | |
| 48 CP (i, j) = c (abs (i-j) + 1); | |
| 49 endfor | |
| 50 endfor | |
| 3426 | 51 |
| 3191 | 52 a = inv (CP) * cp; |
| 53 v = c(1) - a' * cp; | |
| 3426 | 54 |
| 3191 | 55 endfunction |
| 56 | |
| 57 |