update packages

[CreaPhase.git] / octave_packages / m / signal / yulewalker.m

diff --git a/octave_packages/m/signal/yulewalker.m b/octave_packages/m/signal/yulewalker.m
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+## Copyright (C) 1995-2012 Friedrich Leisch
+##
+## This file is part of Octave.
+##
+## Octave 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.
+##
+## Octave 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 Octave; see the file COPYING.  If not, see
+## <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c})
+## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c}
+## of autocovariances @code{[gamma_0, @dots{}, gamma_p]}.
+##
+## Returns the AR coefficients, @var{a}, and the variance of white
+## noise, @var{v}.
+## @end deftypefn
+
+## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description: Fit AR model by Yule-Walker method
+
+function [a, v] = yulewalker (c)
+
+  if (nargin != 1)
+    print_usage ();
+  endif
+
+  p = length (c) - 1;
+
+  if (columns (c) > 1)
+    c = c';
+  endif
+
+  cp = c(2 : p+1);
+  CP = zeros(p, p);
+
+  for i = 1:p
+    for j = 1:p
+      CP (i, j) = c (abs (i-j) + 1);
+    endfor
+  endfor
+
+  a = inv (CP) * cp;
+  v = c(1) - a' * cp;
+
+endfunction
+
+
+
+
+