有关Yule-Walker方程和采用parcorr计算偏自相关函数的讨论
%d为原始数据
d=[83.5 63.1 71 76.3 70.5 80.5 73.6 75.2 69.1 71.4 73.6 78.8 84.4 84.1 83.3 83.1 81.6 81.4 84 82.9 83.5 83.2 82.2 83.2 83.5 83.8 84.5 84.8 83.9 83.9 81 82.2 82.7 82.3 80.9 80.3 81.3 81.6 83.4 88.2 89.6 90.1 88.2 87 87 88.3 87.8 84.7 80.2]'
%求自相关函数
[a,b]=autocorr(d);
%p1=[a(1:20);a(2) a(1) a(3:20);a(3:-1:1) a(4:20);a(4:-1:1) a(5:20);a(5:-1:1) a(6:20);a(6:-1:1) a(7:20);a(7:-1:1) a(8:20);a(8:-1:1) a(9:20);a(9:-1:1) a(10:20);a(10:-1:1) a(11:20);a(11:-1:1) a(12:20);a(12:-1:1) a(13:20);a(13:-1:1) a(14:20);a(14:-1:1) a(15:20);a(15:-1:1) a(16:20);a(16:-1:1) a(17:20);a(17:-1:1) a(18:20);a(18:-1:1) a(19:20);a(19:-1:1) a(20);a(20:-1:1)];
%p为Yule-Walker方程的系数矩阵
p=[];
p=[p;a(1:20)'];
for i=2:19
p=[p;a(i:-1:1)' a(2:21-i )'];
end
p=[p;a(20:-1:1)'];
%求d的偏自相关函数,为什么采用Yule-Walker方程计算的偏自相关函数V和采用parcorr计算的结果不一样,
v=inv(p)*a(2:21)
[e,f]=parcorr(d)
%麻烦高手解答下,谢谢