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Diffstat (limited to 'macros/yulewalker.sci')
| -rw-r--r-- | macros/yulewalker.sci | 54 |
1 files changed, 39 insertions, 15 deletions
diff --git a/macros/yulewalker.sci b/macros/yulewalker.sci index 40fcadb..22fbd77 100644 --- a/macros/yulewalker.sci +++ b/macros/yulewalker.sci @@ -1,32 +1,56 @@ -function [A,V]= yulewalker(C) +// Copyright (C) 2018 - IIT Bombay - FOSSEE +// +// This file must be used under the terms of the CeCILL. +// This source file is licensed as described in the file COPYING, which +// you should have received as part of this distribution. The terms +// are also available at +// http://www.cecill.info/licences/Licence_CeCILL_V2-en.txt +// Author:[insert name] +// Organization: FOSSEE, IIT Bombay +// Email: toolbox@scilab.in + +function [A,V]= yulewalker(c) // Fit an AR (p)-model with Yule-Walker estimates given a vector C of autocovariances '[gamma_0, ..., gamma_p]'. //Calling Sequence //A = yulewalker(C) //[A,V]= yulewalker(C) -//Parameters +//Parameters //C: Autocovariances //Description //Fit an AR (p)-model with Yule-Walker estimates given a vector C of autocovariances '[gamma_0, ..., gamma_p]'. //Returns the AR coefficients, A, and the variance of white noise, V. + +//Test cases +//[A,V]=yulewalker([1 2 3]) +// V = - 2.6666667 +// A =1.3333333 +// 0.3333333 + + funcprot(0); lhs=argn(1); rhs= argn(2); -if(rhs<1 | rhs>1) - error("Wrong number of input arguments"); -end + if (rhs ~= 1) + error ("wrong number of input arguments"); + end + + p = length (c) - 1; -if(lhs<1 | lhs>2) - error("Wrong number of output arguments"); -end + if (size (c,"c") > 1) + c = c'; + end -select(lhs) + cp = c(2 : p+1); + CP = zeros (p, p); - case 1 then - A= callOctave("yulewalker", C); - case 2 then - [A,V]= callOctave("yulewalker", C); -end -endfunction + for i = 1:p + for j = 1:p + CP (i, j) = c (abs (i-j) + 1); + end + end + A = inv (CP) * cp; + V = c(1) -A' * cp; +endfunction |