www.gusucode.com > 时间序列分析工具箱 - tsa源码程序 > tsa/parcor.m
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. % Version 2.99b 24 Oct 2002 % Copyright (C) 1998-2002 by Alois Schloegl <a.schloegl@ieee.org> % 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. [ARP,PARCOR,PE] = durlev(AutoCov); PARCOR=-PARCOR;