Mercurial > octave
annotate scripts/signal/yulewalker.m @ 27923:bd51beb6205e
update formatting of copyright notices
* Use <https://octave.org/copyright/> instead of
<https://octave.org/COPYRIGHT.html/>.
* For consistency with other comments in the Octave sources, use
C++-style comments for copyright blocks in C and C++ files.
* Use delimiters above and below copyright blocks that are appropriate
for the language used in the file.
* Eliminate extra spacing inside copyright blocks.
* lex.ll (looks_like_copyright): Also allow newlines and carriage
returns before the word "Copyright".
* scripts/mk-doc.pl (gethelp): Also skip empty comment lines.
* bp-table.cc, type.m: Adjust tests.
author | John W. Eaton <jwe@octave.org> |
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date | Wed, 08 Jan 2020 11:59:41 -0500 |
parents | 1891570abac8 |
children | b09432b20a84 |
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 |
3457 | 35 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
36 ## Description: Fit AR model by Yule-Walker method | |
3426 | 37 |
3191 | 38 function [a, v] = yulewalker (c) |
3426 | 39 |
7125 | 40 if (nargin != 1) |
41 print_usage (); | |
42 endif | |
43 | |
3191 | 44 p = length (c) - 1; |
3426 | 45 |
3191 | 46 if (columns (c) > 1) |
47 c = c'; | |
48 endif | |
3426 | 49 |
3191 | 50 cp = c(2 : p+1); |
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51 CP = zeros (p, p); |
3426 | 52 |
3191 | 53 for i = 1:p |
54 for j = 1:p | |
55 CP (i, j) = c (abs (i-j) + 1); | |
56 endfor | |
57 endfor | |
3426 | 58 |
3191 | 59 a = inv (CP) * cp; |
60 v = c(1) - a' * cp; | |
3426 | 61 |
3191 | 62 endfunction |