poly2rc.m

时间序列分析的matlab程序

function [RC,r0] = poly2rc(a,efinal);
% converts AR-polynomial into reflection coefficients
% [RC,R0] = poly2rc(A [,Efinal])
%
%  INPUT:
% A     AR polynomial, each row represents one polynomial
% Efinal    is the final prediction error variance (default value 1)
%
%  OUTPUT
% RC    reflection coefficients
% R0    is the variance (autocovariance at lag=0) based on the 
%	prediction error
%
%
% see also ACOVF ACORF AR2RC RC2AR DURLEV AC2POLY, POLY2RC, RC2POLY, RC2AC, AC2RC, POLY2AC
% 

%	Version 2.91
%	Copyright (C) 1996-2001 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.

if all(size(a))>1,
        fprintf(2,'Error poly2rc: "a" must be a vector\n');
        return;
end;
a=a(:).';

mfilename='POLY2RC';
if ~exist('ar2rc','file')
        fprintf(2,'Error %s: AR2RC.M not found. \n Download TSA toolbox from http://www.dpmi.tu-graz.ac.at/~schloegl/matlab/tsa/\n',mfilename);
        return;
end;

if nargin<2, efinal=1; end;

[AR,RC,PE] = ar2rc(poly2ar(a));
if nargout>1,
	r0=efinal.*PE(:,1)./PE(:,size(PE,2));
end;