Mercurial > octave-nkf
annotate scripts/signal/durbinlevinson.m @ 20654:b65888ec820e draft default tip gccjit
dmalcom gcc jit import
| author | Stefan Mahr <dac922@gmx.de> |
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| date | Fri, 27 Feb 2015 16:59:36 +0100 |
| parents | f1d0f506ee78 |
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| rev | line source |
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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} {} durbinlevinson (@var{c}, @var{oldphi}, @var{oldv}) | |
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21 ## Perform one step of the @nospell{Durbin-Levinson} algorithm. |
| 3191 | 22 ## |
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23 ## The vector @var{c} specifies the autocovariances |
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24 ## @code{[gamma_0, @dots{}, gamma_t]} from lag 0 to @var{t}, @var{oldphi} |
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25 ## specifies the coefficients based on @var{c}(@var{t}-1) and @var{oldv} |
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26 ## specifies the corresponding error. |
| 3191 | 27 ## |
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28 ## If @var{oldphi} and @var{oldv} are omitted, all steps from 1 to @var{t} of |
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29 ## the algorithm are performed. |
| 3449 | 30 ## @end deftypefn |
| 3426 | 31 |
| 3457 | 32 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 33 ## Description: Perform one step of the Durbin-Levinson algorithm | |
| 3426 | 34 |
| 3191 | 35 function [newphi, newv] = durbinlevinson (c, oldphi, oldv) |
| 3426 | 36 |
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37 if (nargin != 1 && nargin != 3) |
| 6046 | 38 print_usage (); |
| 3191 | 39 endif |
| 3426 | 40 |
| 3457 | 41 if (columns (c) > 1) |
| 8507 | 42 c = c'; |
| 3191 | 43 endif |
| 44 | |
| 45 newphi = 0; | |
| 46 newv = 0; | |
| 3426 | 47 |
| 3191 | 48 if (nargin == 3) |
| 3426 | 49 |
| 3191 | 50 t = length (oldphi) + 1; |
| 3426 | 51 |
| 3191 | 52 if (length (c) < t+1) |
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53 error ("durbinlevinson: C too small"); |
| 3191 | 54 endif |
| 3426 | 55 |
| 3191 | 56 if (oldv == 0) |
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57 error ("durbinlevinson: OLDV = 0"); |
| 3191 | 58 endif |
| 3426 | 59 |
| 3457 | 60 if (rows (oldphi) > 1) |
| 3191 | 61 oldphi = oldphi'; |
| 62 endif | |
| 3426 | 63 |
| 3191 | 64 newphi = zeros (1, t); |
| 3457 | 65 newphi(1) = (c(t+1) - oldphi * c(2:t)) / oldv; |
| 3191 | 66 for i = 2 : t |
| 67 newphi(i) = oldphi(i-1) - newphi(1) * oldphi(t-i+1); | |
| 68 endfor | |
| 3457 | 69 newv = (1 - newphi(1)^2) * oldv; |
| 3426 | 70 |
| 3191 | 71 elseif(nargin == 1) |
| 3426 | 72 |
| 3191 | 73 tt = length (c)-1; |
| 74 oldphi = c(2) / c(1); | |
| 3457 | 75 oldv = (1 - oldphi^2) * c(1); |
| 3426 | 76 |
| 3191 | 77 for t = 2 : tt |
| 3426 | 78 |
| 3191 | 79 newphi = zeros (1, t); |
| 3457 | 80 newphi(1) = (c(t+1) - oldphi * c(2:t)) / oldv; |
| 3191 | 81 for i = 2 : t |
| 3426 | 82 newphi(i) = oldphi(i-1) - newphi(1) * oldphi(t-i+1); |
| 3191 | 83 endfor |
| 3457 | 84 newv = (1 - newphi(1)^2) * oldv; |
| 3426 | 85 |
| 3191 | 86 oldv = newv; |
| 87 oldphi = newphi; | |
| 3426 | 88 |
| 3191 | 89 endfor |
| 3426 | 90 |
| 3191 | 91 endif |
| 92 | |
| 93 endfunction | |
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94 |