1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
|
function [R,lag] = xcov1(X, Y, biasflag)
// Compute covariance at various lags [=correlation(x-mean(x),y-mean(y))].
//Calling Sequence
//[R, lag] = xcov (X)
//... = xcov (X, Y)
//... = xcov (..., maxlag)
//... = xcov (..., scale)
//Parameters
//X: Input vector
//Y: if specified, compute cross-covariance between X and Y, otherwise compute autocovariance of X.
//maxlag: is specified, use lag range [-maxlag:maxlag], otherwise use range [-n+1:n-1].
//scale:
// 'biased': for covariance=raw/N,
// 'unbiased': for covariance=raw/(N-|lag|),
// 'coeff': for covariance=raw/(covariance at lag 0),
// 'none': for covariance=raw
// 'none': is the default.
//Description
//Compute covariance at various lags [=correlation(x-mean(x),y-mean(y))]. Returns the covariance for each lag in the range, plus an optional vector of lags.
funcprot(0);
rhs = argn(2)
if(rhs<1 | rhs>3)
error("Wrong number of input arguments.");
end
select(rhs)
case 1 then
[R,lag] = callOctave("xcov",X);
case 2 then
[R,lag] = callOctave("xcov",X,Y);
case 3 then
[R,lag] = callOctave("xcov",X,Y,biasflag);
end
endfunction
|
