bispec.m

MATLAB的时间序列分析相关函数,涵盖对时间序列分析所需要所有重要函数

function [BISPEC,BIACF,ACF] = bispec(Z,N);
% Calculates Bispectrum 
% [BISPEC] = bispec(Z,N);
%
% Input:	Z    Signal
%		N  # of coefficients
% Output:	BiACF  bi-autocorrelation function = 3rd order cumulant
%		BISPEC Bi-spectrum 
%
% Reference(s):
% C.L. Nikias and A.P. Petropulu "Higher-Order Spectra Analysis" Prentice Hall, 1993.
% M.B. Priestley, "Non-linear and Non-stationary Time series Analysis", Academic Press, London, 1988.

%	$Id: bispec.m 5090 2008-06-05 08:12:04Z schloegl $
%	Copyright (C) 1997-2003,2008 by Alois Schloegl <[e-mail]>
%
%    This program is free software: you can redistribute it and/or modify
%    it under the terms of the GNU General Public License as published by
%    the Free Software Foundation, either version 3 of the License, or
%    (at your option) any later version.
%
%    This program 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 General Public License for more details.
%
%    You should have received a copy of the GNU General Public License
%    along with this program.  If not, see <http://www.gnu.org/licenses/>.


P=N+1;
ACF=zeros(1,N+1);
BIACF=zeros(2*N+1,2*N+1);

Z=Z(:);
M=size(Z,1);
M1=sum(Z)/M;
Z=Z-M1*ones(size(Z));

for K=0:N, 
	jc2=Z(1:M-K).*Z(1+K:M);
	ACF(K+1)=sum(jc2)/M;
	for L = K:N,
		jc3 = sum(jc2(1:M-L).*Z(1+L:M))/M;
		BIACF(K+P,  L+P)  =jc3;
		BIACF(L+P,  K+P)  =jc3;
		BIACF(L-K+P, -K+P)=jc3;
		BIACF(-K+P, L-K+P)=jc3;
		BIACF(K-L+P, -L+P)=jc3;
		BIACF(-L+P, K-L+P)=jc3;
	end;
end;

BISPEC=fft2(BIACF,128,128);