gammest2.m

蒙托卡罗模拟奇异谱分析

function gout=gammest2(gin)
% GAMMEST2 - used by AR1SIG to compute
% a function for minimization by fzero.
%
% Written by Eric Breitenberger.      Version 1/21/96
% Please send comments and suggestions to [e-mail]       
%

global QUEUE D_ZERO D_ONE NPOINTS

N=NPOINTS;
M=length(QUEUE);

gk=1:N-1;
gk=gin.^gk;
mu2=(1/N)+(2/N^2)*sum((N-1:-1:1).*gk);
W=toeplitz(gk(1:M))/gin-mu2;

QWQ=QUEUE*W*QUEUE;

gout=sum(diag(QWQ,1))*D_ZERO;
gout=1-gout/(sum(diag(QWQ))*D_ONE);

disp(['Iterating in gammest2: dg=' num2str(gout)])