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[project @ 1998-10-23 05:43:59 by jwe]
author jwe
date Fri, 23 Oct 1998 05:44:01 +0000
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children f8dde1807dee
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1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
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2 ##
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3 ## This program is free software; you can redistribute it and/or modify
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4 ## it under the terms of the GNU General Public License as published by
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5 ## the Free Software Foundation; either version 2, or (at your option)
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6 ## any later version.
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7 ##
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8 ## This program is distributed in the hope that it will be useful, but
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9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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11 ## General Public License for more details.
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12 ##
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13 ## You should have received a copy of the GNU General Public License
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14 ## along with this file. If not, write to the Free Software Foundation,
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15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
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16
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17 ## usage: [a, v] = yulewalker (c)
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18 ##
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19 ## fits an AR (p)-model with Yule-Walker estimates.
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20 ## c = [gamma_0, ..., gamma_p] autocovariances
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21 ## a .... AR coefficients
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22 ## v .... variance of white noise
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23
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24 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
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25 ## Description: Fit AR model by Yule-Walker method
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26
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27 function [a, v] = yulewalker (c)
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28
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29 p = length (c) - 1;
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30
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31 if (columns (c) > 1)
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32 c = c';
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33 endif
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34
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35 cp = c(2 : p+1);
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36 CP = zeros(p, p);
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37
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38 for i = 1:p
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39 for j = 1:p
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40 CP (i, j) = c (abs (i-j) + 1);
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41 endfor
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42 endfor
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43
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44 a = inv (CP) * cp;
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45 v = c(1) - a' * cp;
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46
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47 endfunction
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48
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