Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / tsa-4.2.4 / invest1.m

diff --git a/octave_packages/tsa-4.2.4/invest1.m b/octave_packages/tsa-4.2.4/invest1.m
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+function [AutoCov,AutoCorr,ARPMX,E,C,s]=invest1(Y,Pmax,D);
+% First Investigation of a signal (time series) - interactive
+% [AutoCov,AutoCorr,ARPMX,E,CRITERIA,MOPS]=invest1(Y,Pmax,show);
+%
+% Y    time series
+% Pmax maximal order (optional)
+% show  optional; if given the parameters are shown
+%
+% AutoCov      Autocorrelation 
+% AutoCorr     normalized Autocorrelation
+% PartACF      Partial Autocorrelation
+% E    Error function E(p)
+% CRITERIA curves of the various (see below) criteria, 
+% MOPS=[optFPE optAIC optBIC optSBC optMDL optCAT optPHI];
+%      optimal model order according to various criteria
+%
+% FPE  Final Prediction Error (Kay, 1987)
+% AIC  Akaike Information Criterion (Marple, 1987)
+% BIC  Bayesian Akaike Information Criterion (Wei, 1994)
+% SBC  Schwartz's Bayesian Criterion (Wei, 1994)
+% MDL  Minimal Description length Criterion (Marple, 1987)
+% CAT  Parzen's CAT Criterion (Wei, 1994)
+% PHI  Phi criterion (Pukkila et al. 1988)
+% minE         order where E is minimal
+%
+% 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. 
+%  C.E. Shannon and W. Weaver "The mathematical theory of communication" University of Illinois Press, Urbana 1949 (reprint 1963).
+%  W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
+
+% optFPE       order where FPE is minimal
+% optAIC       order where AIC is minimal
+% optBIC       order where BIC is minimal
+% optSBC       order where SBC is minimal
+% optMDL       order where MDL is minimal
+% optCAT       order where CAT is minimal
+% optPHI       order where PHI is minimal
+% optRC2        max reflection coefficient larger than std-error
+
+%      $Id: invest1.m 7687 2010-09-08 18:39:23Z schloegl $
+%      Copyright (C) 1998-2002,2008,2010 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/>.
+
+N=length(Y); 
+[nr,nc]=size(Y);
+if nc==1 Y=transpose(Y); nc=nr; nr=1; end;
+    
+if nargin<2 Pmax=min([100 nc/3]); end;
+
+if exist('OCTAVE_VERSION'),
+        fprintf(2,'Warning INVEST1: DIFF-based optimization not possible\n');
+        %%% missing DIM-argument in DIFF.M    
+else
+        %tmp=Y-mean(Y,2)*ones(1,nc);
+        RMS(:,1) = mean(Y.^2,2);
+        Dmax = min(Pmax,5);
+        for k = 1:Dmax,
+                RMS(:,k+1) = mean(diff(Y,k,2).^2,2);
+        end;
+        [tmp, orderDIFF] = min(RMS,[],2);
+        
+        % show a nice histogram
+        h = histo3(orderDIFF-1);
+        X = 0:Dmax; H = zeros(1,Dmax+1); for k=1:length(h.X), H(find(X==h.X(k)))=h.H(k); end;
+        %X = 0:Dmax; H = zeros(1,Dmax+1); for k=1:length(x), H(find(X==x(k)))=h(k); end;
+        bar(X,H);
+        drawnow;
+
+       if nargin>2
+               oD=0;
+       else            
+               oD=input('Which order should be used for differentiating [default=0] ?: ');
+        end;
+       if oD>0
+                Y=diff(Y,oD,2);
+        end;
+end;
+
+[AutoCov, AutoCorr, ARPMX, E, NC] = invest0(Y,Pmax);
+
+[FPE,AIC,BIC,SBC,MDL,CATcrit,PHI,optFPE,optAIC,optBIC,optSBC,optMDL,optCAT,optPHI,s,C] = selmo(E,NC);
+
+if 0,
+optRC2=zeros(nr+1,1);
+for k=0:nr,
+        if k>0
+                optRC2(k+1)=max(find(abs(ARPMX(k,(1:Pmax).*(2:Pmax+1)/2))*sqrt(size(Y,2))>1));
+        else 
+                optRC2(k+1)=max(find(mean(abs(ARPMX(:,(1:Pmax).*(2:Pmax+1)/2))*sqrt(size(Y,2)),2)>1));
+        end;
+end;
+%GERSCH=min(find(rc.^2<(0.05/1.05)));
+s=[s optRC2];
+end;
+
+%CRITERIA=([FPE;AIC;BIC;SBC;MDL;CATcrit;PHI])';
+MOPS = s(1:size(s,1),:); %[optFPE optAIC optBIC optSBC optMDL optCAT optPHI];
+
+if nargin==3,  
+        if size(ARPMX,2)==2*Pmax,
+                %invest1(eeg8s,30,'s');
+                AR=ARPMX(:,1:Pmax);
+                RC=ARPMX(:,Pmax+1:2*Pmax);
+        else
+                AR=ARPMX(:,Pmax/2*(Pmax-1)+(1:Pmax));
+                RC=ARPMX(:,(1:Pmax).*(2:Pmax+1)/2);
+        end;
+        oo=optBIC; 
+        sinvest1;
+end;