/usr/share/octave/packages/tsa-4.2.7/acorf.m is in octave-tsa 4.2.7-1build1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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 57 58 59 60 61 62 63 64 65 66 67 68 69 70 | 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.
% calculating lpq, stderr, qpval from
% suggested by Philip Gray, University of New South Wales,
% $Id: acorf.m 11693 2013-03-04 06:40:14Z schloegl $
% Copyright (C) 1998-2002,2008 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/>.
[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;
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