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annotate scripts/signal/autocov.m @ 7948:af10baa63915 ss-3-1-50

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3.1.50 snapshot
author John W. Eaton <jwe@octave.org>
date Fri, 18 Jul 2008 17:42:48 -0400
parents a1dbe9d80eee
children
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1 ## Copyright (C) 1995, 1996, 1997, 1998, 1999, 2000, 2002, 2003, 2005,
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2 ## 2007 Friedrich Leisch
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3 ##
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4 ## This file is part of Octave.
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5 ##
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6 ## Octave is free software; you can redistribute it and/or modify it
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7 ## under the terms of the GNU General Public License as published by
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8 ## the Free Software Foundation; either version 3 of the License, or (at
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9 ## your option) any later version.
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10 ##
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11 ## Octave is distributed in the hope that it will be useful, but
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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14 ## General Public License for more details.
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15 ##
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16 ## You should have received a copy of the GNU General Public License
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17 ## along with Octave; see the file COPYING. If not, see
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18 ## <http://www.gnu.org/licenses/>.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {Function File} {} autocov (@var{x}, @var{h})
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22 ## Return the autocovariances from lag 0 to @var{h} of vector @var{x}.
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23 ## If @var{h} is omitted, all autocovariances are computed.
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24 ## If @var{x} is a matrix, the autocovariances of each column are
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25 ## computed.
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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: Compute autocovariances
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30
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31 function retval = autocov (X, h)
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32
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33 [n, c] = size (X);
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34
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35 if (isvector (X))
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36 n = length (X);
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37 c = 1;
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38 X = reshape (X, n, 1);
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39 endif
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40
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41 X = center (X);
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42
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43 if (nargin == 1)
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44 h = n - 1;
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45 endif
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46
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47 retval = zeros (h + 1, c);
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48
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49 for i = 0 : h
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50 retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))).' / n;
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51 endfor
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52
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53 endfunction