dfa.c

消除趋势分析（DFA）目前已经成为时间序列分析的重要方法

/* file: dfa.c	  J. Mietus, C-K Peng, and G. Moody	8 February 2001
		  Last revised:			        25 January 2005  v4.9

-------------------------------------------------------------------------------
dfa: Detrended Fluctuation Analysis (translated from C-K Peng's Fortran code)
Copyright (C) 2001-2005 Joe Mietus, C-K Peng, and George B. Moody

This program is free software; you can redistribute it and/or modify it under
the terms of the GNU General Public License as published by the Free Software
Foundation; either version 2 of the License, or (at your option) any later
version.

This program 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 General Public License for more details.

You should have received a copy of the GNU General Public License along with
this program; if not, write to the Free Software Foundation, Inc., 59 Temple
Place - Suite 330, Boston, MA 02111-1307, USA.

You may contact the authors by e-mail ([e-mail]) or postal mail
(Beth Israel Deaconess Medical Center, Room KS-B26, 330 Brookline Ave., Boston,
MA 02215 USA).  For updates to this software, please visit PhysioNet
(http://www.physionet.org/).
_______________________________________________________________________________

This method was first proposed in:
  Peng C-K, Buldyrev SV, Havlin S, Simons M, Stanley HE, Goldberger AL. Mosaic
  organization of DNA nucleotides. Phys Rev E 1994;49:1685-1689.  [Available
  on-line at http://prola.aps.org/abstract/PRE/v49/i2/p1685_1]

A detailed description of the algorithm and its application to physiologic
signals can be found in:
  Peng C-K, Havlin S, Stanley HE, Goldberger AL. Quantification of scaling
  exponents and crossover phenomena in nonstationary heartbeat time series.
  Chaos 1995;5:82-87. [Abstract online at http://www.ncbi.nlm.nih.gov/entrez/-
   query.fcgi?cmd=Retrieve&db=PubMed&list_uids=11538314&dopt=Abstract]

If you use this program in support of published research, please include a
citation of at least one of the two references above, as well as the standard
citation for PhysioNet:
  Goldberger AL, Amaral LAN, Glass L, Hausdorff JM, Ivanov PCh, Mark RG,
  Mietus JE, Moody GB, Peng CK, Stanley HE.  PhysioBank, PhysioToolkit, and
  Physionet: Components of a New Research Resource for Complex Physiologic
  Signals. Circulation 101(23):e215-e220 [Circulation Electronic Pages;
  http://circ.ahajournals.org/cgi/content/full/101/23/e215]; 2000 (June 13). 
*/

#include <stdio.h>
#include <stdlib.h>
#include <math.h>

#define SWAP(a,b) {temp = (a); (a) = (b); (b) = temp;}

/* Function prototypes. */
long input(void);
int rscale(long minbox, long maxbox, double boxratio);
void dfa(double *seq, long npts, int nfit, long *rs, int nr, int sw);
void setup(void);
void cleanup(void);
void help(void);
double polyfit(double **x, double *y, long ndat, int nfit);
void error(char error_text[]);
double *vector(long nl, long nh);
int *ivector(long nl, long nh);
long *lvector(long nl, long nh);
double **matrix(long nrl, long nrh, long ncl, long nch);
void free_vector(double *v, long nl, long nh);
void free_ivector(int *v, long nl, long nh);
void free_lvector(long *v, long nl, long nh);
void free_matrix(double **m, long nrl, long nrh, long ncl, long nch);

/* Global variables. */
char *pname;	/* this program's name (for use in error messages) */
double *seq;	/* input data buffer; allocated and filled by input() */
long *rs;	/* box size array; allocated and filled by rscale() */
double *mse;	/* fluctuation array; allocated by setup(), filled by dfa() */
int iflag = 1;	/* integrate the input data if non-zero */
int nfit = 2;	/* order of the regression fit, plus 1 */
int nr;		/* number of box sizes */

main(int argc, char **argv)
{
    int i, sw = 0;
    long minbox = 0L, maxbox = 0L, npts, temp;

    /* Read and interpret the command line. */
    pname = argv[0];
    for (i = 1; i < argc && *argv[i] == '-'; i++) {
      switch(argv[i][1]) {
        case 'd':	/* set nfit (the order of the regression fit) */
	  if ((nfit = atoi(argv[++i])+1) < 2)
	      error("order must be greater than 0");
	  break;
	case 'i':	/* input data are already integrated */
	  iflag = 0; break;
	case 'l':	/* set minbox (the minimum box size) */
	  minbox = atol(argv[++i]); break;
	case 'u':	/* set maxbox (the maximum box size) */
	  maxbox = atol(argv[++i]); break;
	case 's':	/* enable sliding window mode */
	  sw = 1; break;
        case 'h':	/* print usage information and quit */
        default:
	  help();
	  exit(1);
      }
    }
  
    /* Allocate and fill the input data array seq[]. */
    npts = input();

    /* Set minimum and maximum box sizes. */
    if (minbox < 2*nfit) minbox = 2*nfit;
    if (maxbox == 0 || maxbox > npts/4) maxbox = npts/4;
    if (minbox > maxbox) {
	SWAP(minbox, maxbox);
	if (minbox < 2*nfit) minbox = 2*nfit;
    }

    /* Allocate and fill the box size array rs[].  rscale's third argument
       specifies that the ratio between successive box sizes is 2^(1/8). */
    nr = rscale(minbox, maxbox, pow(2.0, 1.0/8.0));

    /* Allocate memory for dfa() and the functions it calls. */
    setup();

    /* Measure the fluctuations of the detrended input data at each box size
       using the DFA algorithm; fill mse[] with these results. */
    dfa(seq, npts, nfit, rs, nr, sw);

    /* Output the results. */
    for (i = 1; i <= nr; i++)
	printf("%g %g\n", log10((double)rs[i]), log10(mse[i])/2.0);

    /* Release allocated memory. */
    cleanup();
    exit(0);
}

/* Read input data, allocating and filling seq[], integrating if iflag != 0.
   Following the convention used for other arrays in this program, seq[0] is
   unused, and the first point is stored in seq[1].  The return value is the
   number of points read.

   This function allows the input buffer to grow as large as necessary, up to
   the available memory (assuming that a long int is large enough to address
   any memory location).  Note that the integration is done using double
   precision arithmetic to avoid complete loss of precision when the integrated
   data reach large amplitudes.  */
long input()
{
    long maxdat = 0L, npts = 0L;
    double y, yp = 0.0;

    while (scanf("%lf", &y) == 1) {
        if (++npts >= maxdat) {
	    double *s;

	    maxdat += 50000;	/* allow the input buffer to grow (the
				   increment is arbitrary) */
	    if ((s = realloc(seq, maxdat * sizeof(double))) == NULL) {
		fprintf(stderr,
		      "%s: insufficient memory, truncating input at row %d\n",
		      pname, npts);
	        break;
	    }
	    seq = s;
	}
	seq[npts] = iflag ? (yp += y) : y;
    }

    if (npts < 1) error("no data read");
    return (npts);
}

int rslen;	/* length of rs[] */

/* rscale() allocates and fills rs[], the array of box sizes used by dfa()
   below.  The box sizes range from (exactly) minbox to (approximately) maxbox,
   and are arranged in a geometric series such that the ratio between
   consecutive box sizes is (approximately) boxratio.  The return value is
   the number of box sizes in rs[].
*/
int rscale(long minbox, long maxbox, double boxratio)
{
    int ir, n;
    long rw;

    /* Determine how many scales are needed. */
    rslen = log10(maxbox / (double)minbox) / log10(boxratio) + 1.5;
    /* Thanks to Peter Domitrovich for pointing out that a previous version
       of the above calculation undercounted the number of scales in some
       situations. */
    rs = lvector(1, rslen);
    for (ir = 1, n = 2, rs[1] = minbox; n <= rslen && rs[n-1] < maxbox; ir++)
      if ((rw = minbox * pow(boxratio, ir) + 0.5) > rs[n-1])
            rs[n++] = rw;
    if (rs[--n] > maxbox) --n;
    return (n);
}

double **x;	/* matrix of abscissas and their powers, for polyfit(). */

/* Detrended fluctuation analysis
    seq:	input data array
    npts:	number of input points
    nfit:	order of detrending (2: linear, 3: quadratic, etc.)
    rs:		array of box sizes (uniformly distributed on log scale)
    nr:		number of entries in rs[] and mse[]
    sw:		mode (0: non-overlapping windows, 1: sliding window)
   This function returns the mean squared fluctuations in mse[].
*/
void dfa(double *seq, long npts, int nfit, long *rs, int nr, int sw)
{
    long i, boxsize, inc, j;
    double stat;

    for (i = 1; i <= nr; i++) {
        boxsize = rs[i];
        if (sw) { inc = 1; stat = (int)(npts - boxsize + 1) * boxsize; }
	else { inc = boxsize; stat = (int)(npts / boxsize) * boxsize; }
        for (mse[i] = 0.0, j = 0; j <= npts - boxsize; j += inc)
            mse[i] += polyfit(x, seq + j, boxsize, nfit);
        mse[i] /= stat;
    }
}

/* workspace for polyfit() */
double *beta, **covar, **covar0;
int *indxc, *indxr, *ipiv;

/* This function allocates workspace for dfa() and polyfit(), and sets
   x[i][j] = i**(j-1), in preparation for polyfit(). */
void setup()
{