autocov.m

来自「一种新的时频分析方法的matlab源程序。」· M 代码 · 共 35 行

function g=autocov(f,m,mt)

% The function AUTOCOV computes an 'm X m' auto-covariance matrix.
%
% Note: mean(f) is assumed to be zero.
%
% Calling sequence-
% g=autocov(f,m,mt)
%
% Input-
%	f	- vector f(mt) representing the time series data  
%	m	- max number of lags plus 1
%	mt  - the length of time series data
% Output-
%	g	- autocovariance matrix g(m,m)
 
% Liping Wang (NASA GSFC)	Nov. 23 1999


 for i=1:m
  g0(i)=0.0;
   for jt=1:mt-i+1
    g0(i)=g0(i)+f(i-1+jt)*f(jt);
   end
  g0(i)=g0(i)/(mt-i+1);
 end  
 
 for i=1:m
  for j=1:m
   k=max(i-j,j-i);
   g(i,j)=g0(k+1);
  end 
 end