www.gusucode.com > 时间序列分析工具箱 - tsa源码程序 > tsa/acorf.m
function [AUTOCOV,stderr,lpq,qpval] = acorf(Z,N); % Calculates autocorrelations for multiple data series. % Missing values in Z (NaN) are considered. % Also calculates Ljung-Box Q stats and p-values. % % [AutoCorr,stderr,lpq,qpval] = acorf(Z,N); % If mean should be removed use % [AutoCorr,stderr,lpq,qpval] = acorf(detrend(Z',0)',N); % If trend should be removed use % [AutoCorr,stderr,lpq,qpval] = acorf(detrend(Z')',N); % % INPUT % Z is data series for which autocorrelations are required % each in a row % N maximum lag % % OUTPUT % AutoCorr nr x N matrix of autocorrelations % stderr nr x N matrix of (approx) std errors % lpq nr x M matrix of Ljung-Box Q stats % qpval nr x N matrix of p-values on Q stats % % All input and output parameters are organized in rows, one row % corresponds to one series % % REFERENCES: % 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. % J.S. Bendat and A.G.Persol "Random Data: Analysis and Measurement procedures", Wiley, 1986. % Version 2.99a Date: 13 Jul 2002 % Copyright (C) 1998-2002 by Alois Schloegl <a.schloegl@ieee.org> % calculating lpq, stderr, qpval from % suggested by Philip Gray, University of New South Wales, % This library is free software; you can redistribute it and/or % modify it under the terms of the GNU Library General Public % License as published by the Free Software Foundation; either % version 2 of the License, or (at your option) any later version. % % This library 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 % Library General Public License for more details. % % You should have received a copy of the GNU Library General Public % License along with this library; if not, write to the % Free Software Foundation, Inc., 59 Temple Place - Suite 330, % Boston, MA 02111-1307, USA. [nr,nc] = size(Z); NC = sum(~isnan(Z),2); % missing values AUTOCOV = acovf(Z,N); AUTOCOV = AUTOCOV(:,2:N+1) ./ AUTOCOV(:,ones(1,N)); if nargout > 1 stderr = sqrt(1./NC)*ones(1,N); lpq = zeros(nr,N); qpval = zeros(nr,N); cum=zeros(nr,1); for k=1:N, cum = cum+AUTOCOV(:,k).*conj(AUTOCOV(:,k))./(NC-k); lpq(:,k) = NC.*(NC+2).*cum; % Ljung box Q for k lags %qpval(:,k) = 1 - chi2cdf(lpq(:,k),k); % p-value of Q stat qpval(:,k) = 1 - gammainc(lpq(:,k)/2,k/2); % replace chi2cdf by gammainc end; end;