poly2ac.m

时间序列分析的matlab程序

function ACF=poly2ac(a,efinal)
% converts an AR polynomial into an autocorrelation sequence
% [R] = poly2ac(a [,efinal] );
%
% see also ACOVF ACORF AR2RC RC2AR DURLEV AC2POLY, POLY2RC, RC2POLY, RC2AC, AC2RC, POLY2AC
% 

%	Version 2.90	last revision 10.04.2002
%	Copyright (C) 1996-2002 by Alois Schloegl <[e-mail]>

% This library is free software; you can redistribute it and/or
% modify it under the terms of the GNU Library General Public
% License as published by the Free Software Foundation; either
% Version 2 of the License, or (at your option) any later version.
%
% This library 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
% Library General Public License for more details.
%
% You should have received a copy of the GNU Library General Public
% License along with this library; if not, write to the
% Free Software Foundation, Inc., 59 Temple Place - Suite 330,
% Boston, MA  02111-1307, USA.


fprintf(2,'ERROR: POLY2AC does not work yet. Sorry\n');
return;

mfilename='POLY2AC';
if ~exist('rc2ar','file')
        fprintf(2,'Error %s: RC2AR.M not found. \n Download TSA toolbox from http://www.dpmi.tu-graz.ac.at/~schloegl/matlab/tsa/\n',mfilename);
        return;
end;

[AR,RC,PE] = ar2rc(poly2ar(a));
%[AR,RC,PE,ACF] = rc2ar(RC);

if nargin<2, efinal=PE(:,size(PE,2)); end;

ACF=zeros(size(a));
ACF(:,1) = 1;
for k=2:size(a,2),
        ACF(:,k)=sum(AR(:,1:k-1).*ACF(:,k-(1:k-1)),2);
end;
R0=(sum(AR(:,1:k-1).*ACF(:,2:size(ACF,2)),2)+1).*efinal; %PE(:,size(PE,2));

ACF = ACF.*R0(:,ones(1,size(ACF,2)));

%ACF=ACF*efinal*PE(1)/PE(length(PE));