earpyw.m

来自「时间序列工具箱」· M 代码 · 共 36 行

function  [ARP, se, sy] = earpyw(Y,p);
% Estimates AutoRegressive Parameters 
% by solving the Yule-Walker equations for order p
% EARPYW(Y,p) is the same than AR(Y,p,'yw'), but much faster;
%
%  Y	data
%  p	model order
%  ARP	estimated model parameters
%  sy	estiamted variance = acf(0)
%  se	estimated variance of the error process (white noise)

%	Version 2.40
%	last revision 27.04.1998
%	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.

ACF = acovf(Y,p);	% autocovariance function
[ARP,tmp,PE] = durlev(ACF);	% autoregressive parameters
sy = ACF(:,1);
se = PE(:,p);