时间序列MATLAB代码

function [yucezhi]=shijianxulie(data,cishu);
[hang lie]=size(data);
yucezhi=zeros(hang,lie);
z=zeros(hang,cishu);
for nt=1:hang
    x=data(nt,:);
xx=x;
x=[0 diff(x)];
[NnN Nn]=size(x);
%%%%%%用AR模型
for n=1:sqrt(Nn)
    x2=x((n+1):Nn);
    for j=1:(Nn-n)
        for ji=1:n
            x1(j,ji)=x(n-ji+j);
        end
    end
 dd=pinv((x1'*x1))*x1'*x2';
    
    p=dd;%%%%%%%%p为行向量
    for j=n+1:Nn
        for ii=1:n
            ax(ii)=p(ii)*x(j-ii);%%%%拟合出的xt
        end
        ct(j)=x(j)-sum(ax);%%%%%%%%白噪声序列
    end

    t=[];
    t=ct(n+1:Nn).^2;
    b(n)=sum(t)/(Nn-n);
    AIC(n)=log(b(n))+2*n/Nn;%%%%%%%%AIC准则
    x1=[];x2=[];
end
%%%%%%%%%%%%%%%%%求AIC的最小值
pp=AIC(1);
nn=1;
for i=1:sqrt(Nn)
    if pp>AIC(i)
        pp=AIC(i);
        nn=i;
    end
end
%%%%%%%%%%%%%%%AIC中最小值为pp，回归节数为nn
%%%%%%%%%求白噪声序列%%%%%%
for j=nn+1:Nn
    for ii=1:nn
        ax(ii)=p(ii)*x(j-ii);
    end
    ct(j)=x(j)-sum(ax);%%%%%%%%%白噪声序列%%%%%%
end
at0(nn+1:Nn)=ct(nn+1:Nn);
%%%%%%%%%%%%%估计参数aa bb
jies=12;
if jies>=Nn
    jies=Nn-1;
end
for p=1:jies