acovf.m

时间序列工具箱

function [ACF,WACF] = acovf(Z,KMAX);
% Autocovariance function for multiple channels
% [ACF,WACF] = acovf(Z,N);
%
% Input:	Z    Signal (one channel per row);
%		N+1  # of coefficients
% Output:	ACF  autocovariance function
%		WACF weighted autocorrelation function

%	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.

[lr,lc]=size(Z);

if (nargin == 1) KMAX = lc-1; 
elseif (KMAX >= lc-1) KMAX = lc-1;
end;

if (10*KMAX > lc) & (lr==1),      % use fast Built-in function
	ACF = filter(Z(lc:-1:1),1,Z);
	ACF = ACF(lc:-1:lc-KMAX);
else
        ACF=zeros(lr,KMAX+1);
        for L=1:lr,
	for K = 0:KMAX, 
		ACF(L,K+1) = Z(L,1:lc-K) * Z(L,1+K:lc)';
%		fprintf(1,'%05.1f %i %08.8f\n',toc,K,ACF(K+1));
	end;end;    

end;
ACF=ACF/lc;
WACF=ACF*lc./ACF(:,ones(1,KMAX+1));