1 function [PARCOR,ARP, PE] = parcor(AutoCov);
2 % estimates partial autocorrelation coefficients
3 % Multiple channels can be used (one per row).
5 % [PARCOR, AR, PE] = parcor(AutoCov); % calculates Partial autocorrelation, autoregressive coefficients and residual error variance from the Autocorrelation function.
7 % [PARCOR] = parcor(acovf(x,p)); % calculates the Partial Autocorrelation coefficients of the data series x up to order p
10 % AutoCov Autocorrelation function for lag=0:P
13 % AR autoregressive model parameter
14 % PARCOR partial correlation coefficients (= -reflection coefficients)
15 % PE remaining error variance
17 % All input and output parameters are organized in rows, one row
18 % corresponds to the parameters of one channel.
19 % The PARCOR coefficients are the negative reflection coefficients.
20 % A significance test is implemented in PACF.
22 % see also: PACF ACOVF ACORF DURLEV AC2RC
25 % P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
26 % S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996.
27 % M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981.
28 % W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
31 % $Id: parcor.m 5090 2008-06-05 08:12:04Z schloegl $
32 % Copyright (C) 1997-2002,2008 by Alois Schloegl <a.schloegl@ieee.org>
34 % This program is free software: you can redistribute it and/or modify
35 % it under the terms of the GNU General Public License as published by
36 % the Free Software Foundation, either version 3 of the License, or
37 % (at your option) any later version.
39 % This program is distributed in the hope that it will be useful,
40 % but WITHOUT ANY WARRANTY; without even the implied warranty of
41 % MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
42 % GNU General Public License for more details.
44 % You should have received a copy of the GNU General Public License
45 % along with this program. If not, see <http://www.gnu.org/licenses/>.
48 [ARP,PARCOR,PE] = durlev(AutoCov);