Mercurial > octave
view scripts/signal/diffpara.m @ 29358:0a5b15007766 stable
update Octave Project Developers copyright for the new year
In files that have the "Octave Project Developers" copyright notice,
update for 2021.
author | John W. Eaton <jwe@octave.org> |
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date | Wed, 10 Feb 2021 09:52:15 -0500 |
parents | b09432b20a84 |
children | 7854d5752dd2 |
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######################################################################## ## ## Copyright (C) 1995-2021 The Octave Project Developers ## ## See the file COPYRIGHT.md in the top-level directory of this ## distribution or <https://octave.org/copyright/>. ## ## This file is part of Octave. ## ## Octave is free software: you can redistribute it and/or modify it ## under the terms of the GNU General Public License as published by ## the Free Software Foundation, either version 3 of the License, or ## (at your option) any later version. ## ## Octave is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the ## GNU General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with Octave; see the file COPYING. If not, see ## <https://www.gnu.org/licenses/>. ## ######################################################################## ## -*- texinfo -*- ## @deftypefn {} {[@var{d}, @var{dd}] =} diffpara (@var{x}, @var{a}, @var{b}) ## Return the estimator @var{d} for the differencing parameter of an ## integrated time series. ## ## The frequencies from @math{[2*pi*a/t, 2*pi*b/T]} are used for the ## estimation. If @var{b} is omitted, the interval ## @math{[2*pi/T, 2*pi*a/T]} is used. If both @var{b} and @var{a} are omitted ## then @math{a = 0.5 * sqrt (T)} and @math{b = 1.5 * sqrt (T)} is used, where ## @math{T} is the sample size. If @var{x} is a matrix, the differencing ## parameter of each column is estimated. ## ## The estimators for all frequencies in the intervals described above is ## returned in @var{dd}. ## ## The value of @var{d} is simply the mean of @var{dd}. ## ## Reference: @nospell{P.J. Brockwell & R.A. Davis}. @cite{Time Series: ## Theory and Methods}. @nospell{Springer} 1987. ## @end deftypefn function [d, dd] = diffpara (x, a, b) if (nargin < 1 || nargin > 3) print_usage (); endif if (isvector (x)) n = length (x); k = 1; x = reshape (x, n, 1); else [n, k] = size (x); endif if (nargin == 1) a = 0.5 * sqrt (n); b = 1.5 * sqrt (n); elseif (nargin == 2) b = a; a = 1; endif if (! (isscalar (a) && isscalar (b))) error ("diffpara: A and B must be scalars"); endif dd = zeros (b - a + 1, k); for l = 1:k w = 2 * pi * (1 : n-1) / n; x = 2 * log (abs (1 - exp (-i*w))); y = log (periodogram (x(2:n,l))); x = center (x); y = center (y); for m = a:b dd(m-a+1) = - x(1:m) * y(1:m) / sumsq (x(1:m)); endfor endfor d = mean (dd); endfunction