Mercurial > octave-nkf
annotate scripts/signal/diffpara.m @ 11523:fd0a3ac60b0e
update copyright notices
| author | John W. Eaton <jwe@octave.org> |
|---|---|
| date | Fri, 14 Jan 2011 05:47:45 -0500 |
| parents | 1740012184f9 |
| children | 72c96de7a403 |
| rev | line source |
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| 11523 | 1 ## Copyright (C) 1995-2011 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 -*- |
| 6547 | 20 ## @deftypefn {Function File} {[@var{d}, @var{dd}] =} diffpara (@var{x}, @var{a}, @var{b}) |
| 3449 | 21 ## Return the estimator @var{d} for the differencing parameter of an |
| 3191 | 22 ## integrated time series. |
| 23 ## | |
| 3499 | 24 ## The frequencies from @math{[2*pi*a/t, 2*pi*b/T]} are used for the |
| 25 ## estimation. If @var{b} is omitted, the interval | |
| 26 ## @math{[2*pi/T, 2*pi*a/T]} is used. If both @var{b} and @var{a} are | |
| 27 ## omitted then @math{a = 0.5 * sqrt (T)} and @math{b = 1.5 * sqrt (T)} | |
| 28 ## is used, where @math{T} is the sample size. If @var{x} is a matrix, | |
| 29 ## the differencing parameter of each column is estimated. | |
| 3191 | 30 ## |
| 3449 | 31 ## The estimators for all frequencies in the intervals |
| 3499 | 32 ## described above is returned in @var{dd}. The value of @var{d} is |
| 33 ## simply the mean of @var{dd}. | |
| 3191 | 34 ## |
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35 ## Reference: P.J. Brockwell & R.A. Davis. @cite{Time Series: |
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36 ## Theory and Methods}. Springer 1987. |
| 3449 | 37 ## @end deftypefn |
| 3426 | 38 |
| 3457 | 39 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 40 ## Description: Estimate the fractional differencing parameter | |
| 3191 | 41 |
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42 function [d, dd] = diffpara (x, a, b) |
| 3426 | 43 |
| 3191 | 44 if ((nargin < 1) || (nargin > 3)) |
| 6046 | 45 print_usage (); |
| 3191 | 46 else |
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47 if (isvector (x)) |
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48 n = length (x); |
| 3191 | 49 k = 1; |
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50 x = reshape (x, n, 1); |
| 3191 | 51 else |
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52 [n, k] = size(x); |
| 3191 | 53 endif |
| 54 if (nargin == 1) | |
| 55 a = 0.5 * sqrt (n); | |
| 56 b = 1.5 * sqrt (n); | |
| 57 elseif (nargin == 2) | |
| 58 b = a; | |
| 59 a = 1; | |
| 60 endif | |
| 61 endif | |
| 3426 | 62 |
| 4030 | 63 if (! (isscalar (a) && isscalar (b))) |
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64 error ("diffpara: A and B must be scalars"); |
| 3191 | 65 endif |
| 3426 | 66 |
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67 dd = zeros (b - a + 1, k); |
| 3426 | 68 |
| 3191 | 69 for l = 1:k |
| 3426 | 70 |
| 3191 | 71 w = 2 * pi * (1 : n-1) / n; |
| 3426 | 72 |
| 3457 | 73 x = 2 * log (abs (1 - exp (-i*w))); |
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74 y = log (periodogram (x(2:n,l))); |
| 3426 | 75 |
| 3191 | 76 x = center (x); |
| 77 y = center (y); | |
| 3426 | 78 |
| 3191 | 79 for m = a:b |
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80 dd(m-a+1) = - x(1:m) * y(1:m) / sumsq (x(1:m)); |
| 3191 | 81 endfor |
| 3426 | 82 |
| 3191 | 83 endfor |
| 3426 | 84 |
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85 d = mean (dd); |
| 3426 | 86 |
| 3191 | 87 endfunction |
| 88 |