parcor.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 [PARCOR,ARP, PE] = parcor(AutoCov);
% estimates partial autocorrelation coefficients 
% Multiple channels can be used (one per row).
%
% [PARCOR, AR, PE] = parcor(AutoCov); % calculates Partial autocorrelation, autoregressive coefficients and residual error variance from the Autocorrelation function. 
%
% [PARCOR] = parcor(acovf(x,p)); % calculates the Partial Autocorrelation coefficients of the data series x up to order p
%
%  INPUT:
% AutoCov	Autocorrelation function for lag=0:P
%
%  OUTPUT
% AR	autoregressive model parameter	
% PARCOR partial correlation coefficients (= -reflection coefficients)
% PE    remaining error variance
%
% All input and output parameters are organized in rows, one row 
% corresponds to the parameters of one channel. 
% The PARCOR coefficients are the negative reflection coefficients. 
% A significance test is implemented in PACF.
%
% see also: PACF ACOVF ACORF DURLEV AC2RC 
% 
% REFERENCES:
%  P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
%  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.


%	$Id: parcor.m 5090 2008-06-05 08:12:04Z schloegl $
%	Copyright (C) 1997-2002,2008 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/>.


[ARP,PARCOR,PE] = durlev(AutoCov);
PARCOR=-PARCOR;