Mercurial > octave
annotate scripts/signal/yulewalker.m @ 9051:1bf0ce0930be
Grammar check TexInfo in all .m files
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| author | Rik <rdrider0-list@yahoo.com> |
|---|---|
| date | Fri, 27 Mar 2009 22:31:03 -0700 |
| parents | f084ba47812b |
| children | 16f53d29049f |
| rev | line source |
|---|---|
| 7017 | 1 ## Copyright (C) 1995, 1996, 1997, 1998, 2000, 2002, 2005, 2007 |
| 2 ## Friedrich Leisch | |
| 3426 | 3 ## |
| 3922 | 4 ## This file is part of Octave. |
| 5 ## | |
| 6 ## Octave is free software; you can redistribute it and/or modify it | |
| 7 ## under the terms of the GNU General Public License as published by | |
| 7016 | 8 ## the Free Software Foundation; either version 3 of the License, or (at |
| 9 ## your option) any later version. | |
| 3426 | 10 ## |
| 3922 | 11 ## Octave is distributed in the hope that it will be useful, but |
| 3191 | 12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 14 ## General Public License for more details. |
| 15 ## | |
| 3191 | 16 ## You should have received a copy of the GNU General Public License |
| 7016 | 17 ## along with Octave; see the file COPYING. If not, see |
| 18 ## <http://www.gnu.org/licenses/>. | |
| 3191 | 19 |
| 3449 | 20 ## -*- texinfo -*- |
| 21 ## @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c}) | |
| 22 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} | |
|
9051
1bf0ce0930be
Grammar check TexInfo in all .m files
Rik <rdrider0-list@yahoo.com>
parents:
7125
diff
changeset
|
23 ## of autocovariances @code{[gamma_0, @dots{}, gamma_p]}. |
| 3426 | 24 ## |
| 3449 | 25 ## Returns the AR coefficients, @var{a}, and the variance of white |
| 26 ## noise, @var{v}. | |
| 27 ## @end deftypefn | |
| 3426 | 28 |
| 3457 | 29 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 30 ## Description: Fit AR model by Yule-Walker method | |
| 3426 | 31 |
| 3191 | 32 function [a, v] = yulewalker (c) |
| 3426 | 33 |
| 7125 | 34 if (nargin != 1) |
| 35 print_usage (); | |
| 36 endif | |
| 37 | |
| 3191 | 38 p = length (c) - 1; |
| 3426 | 39 |
| 3191 | 40 if (columns (c) > 1) |
| 41 c = c'; | |
| 42 endif | |
| 3426 | 43 |
| 3191 | 44 cp = c(2 : p+1); |
| 45 CP = zeros(p, p); | |
| 3426 | 46 |
| 3191 | 47 for i = 1:p |
| 48 for j = 1:p | |
| 49 CP (i, j) = c (abs (i-j) + 1); | |
| 50 endfor | |
| 51 endfor | |
| 3426 | 52 |
| 3191 | 53 a = inv (CP) * cp; |
| 54 v = c(1) - a' * cp; | |
| 3426 | 55 |
| 3191 | 56 endfunction |
| 57 | |
| 58 | |
| 3426 | 59 |
| 60 | |
| 61 |