Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / tsa-4.2.4 / invest0.m

diff --git a/octave_packages/tsa-4.2.4/invest0.m b/octave_packages/tsa-4.2.4/invest0.m
new file mode 100644 (file)
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+++ b/octave_packages/tsa-4.2.4/invest0.m
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+function [AutoCov,AutoCorr,MX,E,NC]=invest0(Y,Pmax,Mode);
+% First Investigation of a signal (time series) - automated part
+% [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(Y,Pmax);
+%
+% [AutoCov,AutoCorr,ARPMX,E,ACFsd,NC]=invest0(AutoCov,Pmax,Mode);
+% 
+%
+% Y    time series
+% Pmax maximal order (optional)
+%
+% AutoCov      Autocorrelation 
+% AutoCorr     normalized Autocorrelation
+% PartACF      Partial Autocorrelation
+% ARPMX     Autoregressive Parameter for order Pmax-1
+% E            Error function E(p)
+% NC            Number of values (length-missing values)
+%
+% REFERENCES:
+%  P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
+%  M.S. Grewal and A.P. Andrews "Kalman Filtering" Prentice Hall, 1993. 
+%  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: invest0.m 7687 2010-09-08 18:39:23Z schloegl $
+%      Copyright (C) 1998-2003,2008,2010 by Alois Schloegl <a.schloegl@ieee.org>       
+%       This is part of the TSA-toolbox. See also 
+%       http://biosig-consulting.com/matlab/tsa/
+%
+%    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/>.
+
+if nargin<3
+   Mode=0;
+else
+   Mode=1;
+end;   
+
+[nr,nc]=size(Y);
+NC = sumskipnan(real(~isnan(Y)),2);             % number of valid components (data points)
+
+if Mode==0
+       if nargin<2, Pmax = min([100 nc/3]); end;
+       M = min(Pmax,nc-1);
+        AutoCov = acovf(Y,M);
+else
+        AutoCov=Y;
+        M  = min(Pmax,nc-1);
+        nc = Pmax;
+        %M=size(AutoCov,2)-1;
+end;
+
+AutoCorr = AutoCov(:,2:M+1)./AutoCov(:,ones(M,1));
+
+if 1,Pmax<100; % this needs change of sinvest1
+       K=M-1;
+       [MX,E]=lattice(Y,Pmax);
+       %[MX,E]=ulsar(Y,Pmax);
+       %[MX,E]=durlev(AutoCov);
+%      ARP=MX(:,K*(K-1)/2+(1:K));
+%      PartACF =MX(:,(1:K).*(2:K+1)/2);
+else %if nargout > 2
+       [ARP,RC,E]=lattice(Y,Pmax);
+        %[ARP,PartACF,E]=durlev(AutoCov);
+       %MX=[ARP,RC];        
+end;
+
+
+
+                    
+                    
+                    
+                    
+                    
+