parcor.html
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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 parcor</title> <meta name="keywords" content="parcor"> <meta name="description" content="estimates partial autocorrelation coefficients"> <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> > parcor.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>parcor</h1><h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>estimates partial autocorrelation coefficients</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 [PARCOR,ARP, PE] = parcor(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"> estimates partial autocorrelation coefficients Multiple channels can be used (one per row). [PARCOR, AR, PE] = parcor(AutoCov); % calculates Partial autocorrelation, autoregressive coefficients and residual error variance from the Autocorrelation function. [PARCOR] = parcor(acovf(x,p)); % calculates the Partial Autocorrelation coefficients of the data series x up to order p INPUT: AutoCov Autocorrelation function for lag=0:P OUTPUT AR autoregressive model parameter PARCOR partial correlation coefficients (= -reflection coefficients) PE remaining error variance All input and output parameters are organized in rows, one row corresponds to the parameters of one channel. The PARCOR coefficients are the negative reflection coefficients. A significance test is implemented in PACF. see also: <a href="pacf.html" class="code" title="function [PARCOR,sig,cil,ciu]= pacf(Z,KMAX);">PACF</a> <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="durlev.html" class="code" title="function [MX,res,arg3] = durlev(AutoCov);">DURLEV</a> <a href="ac2rc.html" class="code" title="function [RC,efinal] = ac2rc(AC);">AC2RC</a> REFERENCES: P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991. S. Haykin "Adaptive Filter Theory" 3ed. 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)"><li><a href="durlev.html" class="code" title="function [MX,res,arg3] = durlev(AutoCov);">durlev</a> function [AR,RC,PE] = durlev(ACF);</li></ul>This function is called by:<ul style="list-style-image:url(../matlabicon.gif)"></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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