whiteness.m

用于模拟时变非平稳的ARMA过程

function [WD]= whiteness(x)
% function d= whiteness(x)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 
% Several tests for whiteness

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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clear;tfpm;
N    = 512;
MAR  =   3;
LAR  =   0;
MMA  =   2;
LMA  =   0;
re_im= 'r';
mo_no= 'm';
tfpm_file_gen;
%-------------
x= randn(N, 1);
x= tfarma_gen(randn(N, 1), Aml, Bml, 1/2);
figure(1);clf;plot(x)

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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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% Dimensions:
N= length(x);

X= fft(x);
PX= abs([X(N/2+1:N); X(1:N/2)]).^2/N;
%figure(2);clf;plot(abs(X))
%figure(3);clf;plot(PX)

%%% DROUICHE - TEST
WD= log(sum(PX)/N) - sum(log(PX))/N;

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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MM= 1000;
W= [];
for mm= 1:MM
   mm
   w= whiteness(randn(N, 1));
   W= [W;w];
end;

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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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