arcext.m

时间序列分析的matlab程序

function  [AR,RC] = arcext(MX,P);
% ARCEXT extracts AR and RC of order P from Matrix MX
% function  [AR,RC] = arcext(MX,P);
%
%  INPUT:
% MX 	AR and RC matrix calculated by durlev 
% P 	model order (default maximum possible)
%
%  OUTPUT
% AR    autoregressive model parameter	
% RC    reflection coefficients (= -PARCOR coefficients)
%
% All input and output parameters are organized in rows, one row 
% corresponds to the parameters of one channel
%
% see also ACOVF ACORF DURLEV 
% 
% REFERENCES:
%  P.J. Brockwell and R. A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
%  S. Haykin "Adaptive Filter Theory" 3rd ed. Prentice Hall, 1996.
%  M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981. 
%  W.S. Wei "Time Series Analysis" Addison Wesley, 1990.

%  $Revision: 1.9 $
%  $Id: arcext.m,v 1.9 2005/11/04 09:00:27 schloegl Exp $
%  Copyright (C) 1998-2003 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.


[lr,lc]=size(MX);

if ~mod(sqrt(8*lc+1)-1,2)	% full number of elements
	K = (sqrt(8*lc+1)-1)/2;
elseif ~mod(lc,2),   % compressed form of MX
	K = lc/2;
else		% invalid number of elements
	fprintf(2,'Warning ARCEXT: Number of elements is different than a triangular matrix\n');
end;

if (K~=P) & (lc~=K*(K+1)/2),
	[AR,RC,PE]=rc2ar(MX(:,(1:P).*(2:P+1)/2));
else
	AR = MX(:,P*(P-1)/2+(1:P));
	RC = MX(:,(1:P).*(2:P+1)/2);
end;