invest0.m

时间序列分析的matlab程序

function [AutoCov,AutoCorr,MX,E,NC]=invest0(Y,Pmax,Mode);
% First Investigation of a signal (time series) - automated part
% [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(Y,Pmax);
%
% [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(AutoCov,Pmax,Mode);
% 
%
% Y	time series
% Pmax	maximal order (optional)
%
% AutoCov	Autocorrelation 
% AutoCorr	normalized Autocorrelation
% PartACF	Partial Autocorrelation
% ARPMX     Autoregressive Parameter for order Pmax-1
% E	        Error function E(p)
% NC            Number of values (length-missing values)
%
% REFERENCES:
%  P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
%  M.S. Grewal and A.P. Andrews "Kalman Filtering" Prentice Hall, 1993. 
%  S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996.
%  M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981. 
%  W.S. Wei "Time Series Analysis" Addison Wesley, 1990.

%	Copyright (C) 1998-2003 by Alois Schloegl <[e-mail]>	
%	$Revision: 1.11 $
%	$Id: invest0.m,v 1.11 2005/05/25 02:52:48 pkienzle Exp $

% 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 nargin<3
   Mode=0;
else
   Mode=1;
end;	

[nr,nc]=size(Y);
NC = sumskipnan(real(~isnan(Y)),2);             % number of valid components (data points)

if Mode==0
	if nargin<2, Pmax = min([100 nc/3]); end;
	M = min(Pmax,nc-1);
        AutoCov = acovf(Y,M);
else
        AutoCov=Y;
        M  = min(Pmax,nc-1);
        nc = Pmax;
        %M=size(AutoCov,2)-1;
end;

AutoCorr = AutoCov(:,2:M+1)./AutoCov(:,ones(M,1));

if 1,Pmax<100; % this needs change of sinvest1
	K=M-1;
	[MX,E]=lattice(Y,Pmax);
	%[MX,E]=ulsar(Y,Pmax);
	%[MX,E]=durlev(AutoCov);
%    	ARP=MX(:,K*(K-1)/2+(1:K));
%    	PartACF =MX(:,(1:K).*(2:K+1)/2);
else %if nargout > 2
	[ARP,RC,E]=lattice(Y,Pmax);
        %[ARP,PartACF,E]=durlev(AutoCov);
	%MX=[ARP,RC];        
end;