invest1.m

时间序列工具箱

function [ACOVF,ACF,PACF,ARPmx,E,CRITERIA,MOPS]=invest1(Y,Pmax,D);
% First Investigation of a signal (time series)
% [ACOVF,ACF,PACF,ARPmx,E,CRITERIA,MOPS]=invest1(Y,Pmax,show);
%
% Y	time series
% Pmax	maximal order (optional)
% show  optional; if given the parameters are shown
%
% ACOVF	Autocovariance 
% ACF	Autocorrelation
% PACF	Partial Autocorrelation
% ARPmx Autoregressive Parameter Matrix
% E	Error function E(p)
%
% FPE	Final Prediction Error (Kay, 1987)
% AIC	Akaike Information Criterion (Marple, 1987)
% BIC	Bayesian Akaike Information Criterion (Wei, 1994)
% SBC	Schwartz's Bayesian Criterion (Wei, 1994)
% MDL	Minimal Description length Criterion (Marple, 1987)
% CAT	Parzen's CAT Criterion (Wei, 1994)
% PHI	Phi criterion (Pukkila et al. 1988)
% minE		order where E is minimal
% optFPE 	order where FPE is minimal
% optAIC 	order where AIC is minimal
% optBIC 	order where BIC is minimal
% optSBC 	order where SBC is minimal
% optMDL 	order where MDL is minimal
% optCAT 	order where CAT is minimal
% optPHI 	order where PHI is minimal

%	Version 2.41
%	last revision 14.05.1998
%	Copyright (c) 1997, 1998 by Alois Schloegl
%	e-mail: [e-mail]	

% This library is free software; you can redistribute it and/or
% modify it under the terms of the GNU Library General Public
% License as published by the Free Software Foundation; either
% Version 2 of the License, or (at your option) any later version.
%
% This library 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
% Library General Public License for more details.
%
% You should have received a copy of the GNU Library General Public
% License along with this library; if not, write to the
% Free Software Foundation, Inc., 59 Temple Place - Suite 330,
% Boston, MA  02111-1307, USA.

N=length(Y); 
if nargin<2 Pmax=min([100 N/3]); end;

[ACOVF,ACF,PACF,ARPmx,E,ACFsd]=invest0(Y,Pmax);
[FPE,AIC,BIC,SBC,MDL,CAT,PHI,optFPE,optAIC,optBIC,optSBC,optMDL,optCAT,optPHI]=selmo(E,N);
CRITERIA=[FPE;AIC;BIC;SBC;MDL;CAT;PHI]';
MOPS=[optFPE optAIC optBIC optSBC optMDL optCAT optPHI];

if nargin==3 oo=optBIC; sinvest1;
end;