Mercurial > octave
view scripts/signal/yulewalker.m @ 31224:45984c799215
sparse-xpow.cc: Use faster multiplication technique based on input matrix sparsity
author | Arun Giridhar <arungiridhar@gmail.com> |
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date | Sat, 10 Sep 2022 15:44:05 -0400 |
parents | 796f54d4ddbf |
children | 597f3ee61a48 |
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######################################################################## ## ## Copyright (C) 1995-2022 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{a}, @var{v}] =} yulewalker (@var{c}) ## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} of ## autocovariances @code{[gamma_0, @dots{}, gamma_p]}. ## ## Returns the AR coefficients, @var{a}, and the variance of white noise, ## @var{v}. ## @end deftypefn function [a, v] = yulewalker (c) if (nargin < 1) print_usage (); endif p = length (c) - 1; if (columns (c) > 1) c = c'; endif cp = c(2 : p+1); CP = zeros (p, p); for i = 1:p for j = 1:p CP (i, j) = c (abs (i-j) + 1); endfor endfor a = inv (CP) * cp; v = c(1) - a' * cp; endfunction