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/*
* Scilab ( http://www.scilab.org/ ) - This file is part of Scilab
* Copyright (C) 2008 - INRIA - Arnaud TORSET
*
* 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
*
*/
/*Resolve the Yule-Walker equations:
|r(0) r(1) ... r(N-1)|| a(1) | |sigma2|
|r(1) r(0) ... r(n-1)|| a(2) | | 0 |
| : : ... : || : |=| 0 |
| : : ... : || : | | 0 |
|r(N-1) r(N-2) ... r(0) ||a(N-1)| | 0 |
using Levinson's algorithm.
r :Correlation coefficients
ar :Auto-Regressive model parameters
sigma2 :Scale constant
rc :Reflection coefficients
*/
#include <stdlib.h>
#include "lev.h"
double dleva2(double* in,int size, double* ar){
int i=0, j=0;
double accu=0;
double* ak1;
double sigma2;
/* FIXME : malloc here */
ak1=(double*)malloc((unsigned int)size*sizeof(double));
/* initialize levinson's algorithm */
ar[0]=-in[1]/in[0];
sigma2=(1-ar[0]*ar[0])*in[0];
ak1[0]=0;
/* iterative solution to yule-walker equations */
for (i=1;i<size-1;i++){
accu=0;
for (j=0;j<i;j++){
accu+=ar[j]*in[i-j];
}
ak1[i]=-(in[i+1]+accu)/(sigma2);
for (j=0;j<i;j++){
ak1[j] = ar[j]+ak1[i]*ar[i-1-j];
}
sigma2=(1-ak1[i]*ak1[i])*(sigma2);
for (j=0;j<=i;j++){
ar[j]=ak1[j];
}
}
free(ak1);
return sigma2;
}
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