Mercurial > octave
annotate scripts/signal/yulewalker.m @ 14138:72c96de7a403 stable
maint: update copyright notices for 2012
| author | John W. Eaton <jwe@octave.org> |
|---|---|
| date | Mon, 02 Jan 2012 14:25:41 -0500 |
| parents | fd0a3ac60b0e |
| children | 5d3a684236b0 |
| rev | line source |
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14138
72c96de7a403
maint: update copyright notices for 2012
John W. Eaton <jwe@octave.org>
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changeset
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1 ## Copyright (C) 1995-2012 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} {[@var{a}, @var{v}] =} yulewalker (@var{c}) | |
| 21 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} | |
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Grammar check TexInfo in all .m files
Rik <rdrider0-list@yahoo.com>
parents:
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changeset
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22 ## of autocovariances @code{[gamma_0, @dots{}, gamma_p]}. |
| 3426 | 23 ## |
| 3449 | 24 ## Returns the AR coefficients, @var{a}, and the variance of white |
| 25 ## noise, @var{v}. | |
| 26 ## @end deftypefn | |
| 3426 | 27 |
| 3457 | 28 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 29 ## Description: Fit AR model by Yule-Walker method | |
| 3426 | 30 |
| 3191 | 31 function [a, v] = yulewalker (c) |
| 3426 | 32 |
| 7125 | 33 if (nargin != 1) |
| 34 print_usage (); | |
| 35 endif | |
| 36 | |
| 3191 | 37 p = length (c) - 1; |
| 3426 | 38 |
| 3191 | 39 if (columns (c) > 1) |
| 40 c = c'; | |
| 41 endif | |
| 3426 | 42 |
| 3191 | 43 cp = c(2 : p+1); |
| 44 CP = zeros(p, p); | |
| 3426 | 45 |
| 3191 | 46 for i = 1:p |
| 47 for j = 1:p | |
| 48 CP (i, j) = c (abs (i-j) + 1); | |
| 49 endfor | |
| 50 endfor | |
| 3426 | 51 |
| 3191 | 52 a = inv (CP) * cp; |
| 53 v = c(1) - a' * cp; | |
| 3426 | 54 |
| 3191 | 55 endfunction |
| 56 | |
| 57 | |
| 3426 | 58 |
| 59 | |
| 60 |