psd_autocovariance.m

基于AR模型的现代谱估计

function [ap_cova, en_cova] = psd_autocovariance(xn, p);
%[ap_corr, en_corr] = psd_autocovariance(xn, p) use the atuocovariance
%method to estimate the psd of signal xn with a p phase AR model
%ap_corr is the AR coiefficients
%en_corr is the deviation estimated

%caculate the  autocovariance matrix Cxx
N=length(xn);
Cxx=zeros(p+1);
Cxd=zeros(p,1);
C0k=zeros(1,p+1);
for j=0:p
    for k=0:p
        for m=p:(N-1)
            Cxx(j+1,k+1)=Cxx(j+1,k+1)+xn(m-j+1)*xn(m-k+1);
        end
    end
end
Cxx = Cxx/(N-p);
Cxd = Cxx(2:(p+1),1);
C0k = Cxx(1,:);
ap_cova = -(inv(Cxx((2:p+1),(2:p+1))))*Cxd;
en_cova = C0k(1)+C0k(2:(p+1))*ap_cova;