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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/REC-html40/loose.dtd"><html><head> <title>Description of durlev</title> <meta name="keywords" content="durlev"> <meta name="description" content="function [AR,RC,PE] = durlev(ACF);"> <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1"> <meta name="generator" content="m2html © 2003 Guillaume Flandin"> <meta name="robots" content="index, follow"> <link type="text/css" rel="stylesheet" href="../m2html.css"></head><body><a name="_top"></a><div><a href="../index.html">Home</a> > <a href="index.html">tsa</a> > durlev.m</div><!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td><td align="right"><a href="index.html">Index for tsa <img alt=">" border="0" src="../right.png"></a></td></tr></table>--><h1>durlev</h1><h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>function [AR,RC,PE] = durlev(ACF);</strong></div><h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>function [MX,res,arg3] = durlev(AutoCov); </strong></div><h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="fragment"><pre class="comment"> function [AR,RC,PE] = durlev(ACF); function [MX,PE] = durlev(ACF); estimates AR(p) model parameter by solving the Yule-Walker with the Durbin-Levinson recursion for multiple channels INPUT: ACF Autocorrelation function from lag=[0:p] OUTPUT AR autoregressive model parameter RC reflection coefficients (= -PARCOR coefficients) PE remaining error variance MX transformation matrix between ARP and RC (Attention: needs O(p^2) memory) AR(:,K) = MX(:,K*(K-1)/2+(1:K)); RC(:,K) = MX(:,(1:K).*(2:K+1)/2); All input and output parameters are organized in rows, one row corresponds to the parameters of one channel see also <a href="acovf.html" class="code" title="function [ACF,NN] = acovf(Z,KMAX,Mode,Mode2);">ACOVF</a> <a href="acorf.html" class="code" title="function [AUTOCOV,stderr,lpq,qpval] = acorf(Z,N);">ACORF</a> <a href="ar2rc.html" class="code" title="function [MX,res,arg3] = ar2rc(ar);">AR2RC</a> <a href="rc2ar.html" class="code" title="function [MX,res,arg3,acf] = rc2ar(rc);">RC2AR</a> <a href="lattice.html" class="code" title="function [MX,PE,arg3] = lattice(Y,lc,Mode);">LATTICE</a> REFERENCES: Levinson N. (1947) "The Wiener RMS(root-mean-square) error criterion in filter design and prediction." J. Math. Phys., 25, pp.261-278. Durbin J. (1960) "The fitting of time series models." Rev. Int. Stat. Inst. vol 28., pp 233-244. P.J. Brockwell and R. A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991. S. Haykin "Adaptive Filter Theory" 3rd ed. Prentice Hall, 1996. M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981. W.S. Wei "Time Series Analysis" Addison Wesley, 1990.</pre></div><!-- crossreference --><h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>This function calls:<ul style="list-style-image:url(../matlabicon.gif)"></ul>This function is called by:<ul style="list-style-image:url(../matlabicon.gif)"><li><a href="ac2poly.html" class="code" title="function [A,E] = ac2poly(acf);">ac2poly</a> converts the autocorrelation sequence into an AR polynomial</li><li><a href="ac2rc.html" class="code" title="function [RC,efinal] = ac2rc(AC);">ac2rc</a> converts the autocorrelation function into reflection coefficients</li><li><a href="pacf.html" class="code" title="function [PARCOR,sig,cil,ciu]= pacf(Z,KMAX);">pacf</a> Partial Autocorrelation function</li><li><a href="parcor.html" class="code" title="function [PARCOR,ARP, PE] = parcor(AutoCov);">parcor</a> estimates partial autocorrelation coefficients</li></ul><!-- crossreference --><hr><address>Generated on Tue 17-Aug-2004 00:13:21 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address></body></html>⌨️ 快捷键说明
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