Mercurial > octave
annotate scripts/signal/yulewalker.m @ 33625:d213a148b3f1 default tip @
ensure exp. terminal widget has focus at startup
* main-window.cc (main_window): call focus_command_window only if
event loop is idle by using a single shot timer
* main-window.h: make focus_command_window a public slot
| author | Torsten Lilge <ttl-octave@mailbox.org> |
|---|---|
| date | Sun, 26 May 2024 02:29:44 +0200 |
| parents | 2e484f9f1f18 |
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| rev | line source |
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1 ######################################################################## |
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2 ## |
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3 ## Copyright (C) 1995-2024 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 |
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37 if (nargin < 1) |
| 7125 | 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 |