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aryule.m

## Copyright (C) 1999 Paul Kienzle
##
## 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 2 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/>.


## usage:  [a, v, k] = aryule (x, p)
## 
## fits an AR (p)-model with Yule-Walker estimates.
## x = data vector to estimate
## a: AR coefficients
## v: variance of white noise
## k: reflection coeffients for use in lattice filter 
##
## The power spectrum of the resulting filter can be plotted with
## pyulear(x, p), or you can plot it directly with ar_psd(a,v,...).
##
## See also:
## pyulear, power, freqz, impz -- for observing characteristics of the model
## arburg -- for alternative spectral estimators
##
## Example: Use example from arburg, but substitute aryule for arburg.
##
## Note: Orphanidis '85 claims lattice filters are more tolerant of 
## truncation errors, which is why you might want to use them.  However,
## lacking a lattice filter processor, I haven't tested that the lattice
## filter coefficients are reasonable.

## Changes (Peter Lanspeary, 6 Nov 2006):
##  Add input checking;
##  'biased' arg for xcorr fixes scaling problem;
##  force real zero-lag autocorrelation - prevents warning from toeplitz;
##  returns 'a' only if nargout==0 (rather than returning a, v, k).

function [a, v, k] = aryule (x, p)
if ( nargin~=2 )
  error( 'usage: [a,v,k] = aryule(x,p)' );
elseif ( ~isvector(x) || length(x)<3 )
  error( 'aryule: arg 1 (x) must be vector of length >2' );
elseif ( ~isscalar(p) || fix(p)~=p || p > length(x)-2 )
  error( 'aryule: arg 2 (p) must be an integer >0 and <length(x)-1' );
else
  c = xcorr(x, p+1, 'biased');
  c(1:p+1) = [];     # remove negative autocorrelation lags
  c(1) = real(c(1)); # levinson/toeplitz requires exactly c(1)==conj(c(1))
  if nargout <= 1
    a = levinson(c, p);
  elseif nargout == 2
    [a, v] = levinson(c, p);
  else
    [a, v, k] = levinson(c, p);
  endif
endif
endfunction

%!demo
%! % use demo('pyulear')

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