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1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch |
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2 ## |
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3 ## This file is part of Octave. |
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4 ## |
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5 ## Octave is free software; you can redistribute it and/or modify it |
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6 ## under the terms of the GNU General Public License as published by |
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7 ## the Free Software Foundation; either version 3 of the License, or (at |
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8 ## your option) any later version. |
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9 ## |
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10 ## Octave is distributed in the hope that it will be useful, but |
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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13 ## General Public License for more details. |
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14 ## |
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15 ## You should have received a copy of the GNU General Public License |
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16 ## along with Octave; see the file COPYING. If not, see |
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17 ## <http://www.gnu.org/licenses/>. |
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18 |
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19 ## -*- texinfo -*- |
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20 ## @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c}) |
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21 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} |
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22 ## of autocovariances @code{[gamma_0, ..., gamma_p]}. |
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23 ## |
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24 ## Returns the AR coefficients, @var{a}, and the variance of white |
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25 ## noise, @var{v}. |
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26 ## @end deftypefn |
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27 |
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28 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
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29 ## Description: Fit AR model by Yule-Walker method |
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30 |
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31 function [a, v] = yulewalker (c) |
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32 |
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33 p = length (c) - 1; |
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34 |
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35 if (columns (c) > 1) |
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36 c = c'; |
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37 endif |
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38 |
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39 cp = c(2 : p+1); |
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40 CP = zeros(p, p); |
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41 |
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42 for i = 1:p |
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43 for j = 1:p |
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44 CP (i, j) = c (abs (i-j) + 1); |
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45 endfor |
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46 endfor |
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47 |
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48 a = inv (CP) * cp; |
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49 v = c(1) - a' * cp; |
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50 |
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51 endfunction |
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52 |
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53 |
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54 |
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55 |
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56 |