Mercurial > octave
annotate scripts/signal/yulewalker.m @ 27984:b09432b20a84
maint: Remove special cases of old version control keywords in code base.
* common_size.m, cumtrapz.m, interp1.m, polyarea.m, trapz.m, inpolygon.m,
summer.m, javamem.m, duplication_matrix.m, subspace.m, starting_stepsize.m,
text.m, errorbar.m, loglogerr.m, peaks.m, __errplot__.m, semilogxerr.m,
semilogyerr.m, stemleaf.m, streamtube.m, __pltopt__.m, printd.m, pchip.m,
arch_fit.m, arch_rnd.m, arch_test.m, arma_rnd.m, autoreg_matrix.m, bartlett.m,
blackman.m, diffpara.m, durbinlevinson.m, fractdiff.m, hamming.m, hanning.m,
hurst.m, ifftshift.m, periodogram.m, rectangle_lw.m, rectangle_sw.m,
triangle_lw.m, triangle_sw.m, sinetone.m, sinewave.m, spectral_adf.m,
spectral_xdf.m, spencer.m, stft.m, synthesis.m, yulewalker.m, bicg.m,
bicgstab.m, cgs.m, gmres.m, pcr.m, sprand.m, tfqmr.m, betaincinv.m, betaln.m,
gammaincinv.m, hadamard.m, center.m, cov.m, discrete_inv.m, discrete_pdf.m,
discrete_rnd.m, empirical_cdf.m, empirical_inv.m, empirical_pdf.m,
empirical_rnd.m, iqr.m, kendall.m, mean.m, meansq.m, moment.m, prctile.m,
quantile.m, range.m, run_count.m, spearman.m, statistics.m, var.m, zscore.m,
datenum.m, datevec.m:
Remove special cases of old version control keywords in code base.
author | Rik <rik@octave.org> |
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date | Tue, 21 Jan 2020 14:04:31 -0800 |
parents | bd51beb6205e |
children | de5f2f9a64ff 0a5b15007766 |
rev | line source |
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1 ######################################################################## |
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2 ## |
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3 ## Copyright (C) 1995-2020 The Octave Project Developers |
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4 ## |
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5 ## See the file COPYRIGHT.md in the top-level directory of this |
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6 ## distribution or <https://octave.org/copyright/>. |
3426 | 7 ## |
3922 | 8 ## This file is part of Octave. |
9 ## | |
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10 ## Octave is free software: you can redistribute it and/or modify it |
3922 | 11 ## under the terms of the GNU General Public License as published by |
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12 ## the Free Software Foundation, either version 3 of the License, or |
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13 ## (at your option) any later version. |
3426 | 14 ## |
3922 | 15 ## Octave is distributed in the hope that it will be useful, but |
3191 | 16 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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17 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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18 ## GNU General Public License for more details. |
3426 | 19 ## |
3191 | 20 ## You should have received a copy of the GNU General Public License |
7016 | 21 ## along with Octave; see the file COPYING. If not, see |
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22 ## <https://www.gnu.org/licenses/>. |
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23 ## |
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24 ######################################################################## |
3191 | 25 |
3449 | 26 ## -*- texinfo -*- |
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27 ## @deftypefn {} {[@var{a}, @var{v}] =} yulewalker (@var{c}) |
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28 ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} of |
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29 ## autocovariances @code{[gamma_0, @dots{}, gamma_p]}. |
3426 | 30 ## |
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31 ## Returns the AR coefficients, @var{a}, and the variance of white noise, |
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32 ## @var{v}. |
3449 | 33 ## @end deftypefn |
3426 | 34 |
3191 | 35 function [a, v] = yulewalker (c) |
3426 | 36 |
7125 | 37 if (nargin != 1) |
38 print_usage (); | |
39 endif | |
40 | |
3191 | 41 p = length (c) - 1; |
3426 | 42 |
3191 | 43 if (columns (c) > 1) |
44 c = c'; | |
45 endif | |
3426 | 46 |
3191 | 47 cp = c(2 : p+1); |
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48 CP = zeros (p, p); |
3426 | 49 |
3191 | 50 for i = 1:p |
51 for j = 1:p | |
52 CP (i, j) = c (abs (i-j) + 1); | |
53 endfor | |
54 endfor | |
3426 | 55 |
3191 | 56 a = inv (CP) * cp; |
57 v = c(1) - a' * cp; | |
3426 | 58 |
3191 | 59 endfunction |