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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 | 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;
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