/usr/share/octave/packages/3.2/tsa-4.1.0/arcext.m is in octave-tsa 4.1.0+svn20110501-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 | function [AR,RC] = arcext(MX,P);
% ARCEXT extracts AR and RC of order P from Matrix MX
% function [AR,RC] = arcext(MX,P);
%
% INPUT:
% MX AR and RC matrix calculated by durlev
% P model order (default maximum possible)
%
% OUTPUT
% AR autoregressive model parameter
% RC reflection coefficients (= -PARCOR coefficients)
%
% All input and output parameters are organized in rows, one row
% corresponds to the parameters of one channel
%
% see also ACOVF ACORF DURLEV
%
% REFERENCES:
% P.J. Brockwell and R. A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
% S. Haykin "Adaptive Filter Theory" 3rd ed. Prentice Hall, 1996.
% M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981.
% W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
% $Id: arcext.m 5090 2008-06-05 08:12:04Z schloegl $
% Copyright (C) 1998-2003,2008 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/>.
[lr,lc]=size(MX);
if ~mod(sqrt(8*lc+1)-1,2) % full number of elements
K = (sqrt(8*lc+1)-1)/2;
elseif ~mod(lc,2), % compressed form of MX
K = lc/2;
else % invalid number of elements
fprintf(2,'Warning ARCEXT: Number of elements is different than a triangular matrix\n');
end;
if (K~=P) & (lc~=K*(K+1)/2),
[AR,RC,PE]=rc2ar(MX(:,(1:P).*(2:P+1)/2));
else
AR = MX(:,P*(P-1)/2+(1:P));
RC = MX(:,(1:P).*(2:P+1)/2);
end;
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