ARMA模型的Matlab代码.doc

ARMA 模型的 Matlab 代码

来源：http://www.mathworks.com/matlabcentral/fileexchange/16425

%--------------------------------------------------------------------------

%

% ARMA_LAST.M

%

% This function provides an ARMA spectral estimate which is maximum

% entropy satisfying correlation constraint (number of poles)and cepstrum

% constrains (number of ceros)

% nq Order of the denominator (# of poles)

% np Order of the numerator (# of ceros)

%

% The function provides:

%

% outd(nq) The numerator coefficients outn(1)=1

% outn(np) The denominator coefficients outd(1)=1

% sigma The square-root of input noise power

%

% The function requires spa_corc.m to compute the autocorrealtion matrix

nsam=length(xinf);ra1=spa_corc(xinf,nq);nle=(nsam/2);

ra2=spa_corc(xinf,nle);=eig(ra2);

d1=diag(log(diag(d)));ca1=u*d1*u';clear u d1 d ra2 nsam;

for i=1:np

cuso(i)=0;

for j=1:nle-i;

cuso(i)=cuso(i)+ca1(j,i+j);

end;cuso(i)=cuso(i)/(nle);

end;

cep=(1:1:np).*cuso(1:np);clear ca1 nle cuso;