Add a useful package (from Source forge) for octave

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

diff --git a/octave_packages/tsa-4.2.4/parcor.m b/octave_packages/tsa-4.2.4/parcor.m
new file mode 100644 (file)
index 0000000..7624657
--- /dev/null
+++ b/octave_packages/tsa-4.2.4/parcor.m
@@ -0,0 +1,49 @@
+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 <a.schloegl@ieee.org>    
+%
+%    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;