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Commit e486088a authored by marwan's avatar marwan
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definitions of criteria checked and corrected

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with 89 additions and 27 deletions
arfit.m
+ 89
− 27
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......@@ -23,7 +23,7 @@ function varargout=arfit(varargin)
% end
% arfit(x,10)
% Copyright (c) 2002-2006 by AMRON
% Copyright (c) 2002-2007 by AMRON
% Norbert Marwan, Potsdam University, Germany
% http://www.agnld.uni-potsdam.de
%
......@@ -31,6 +31,9 @@ function varargout=arfit(varargin)
% $Revision$
%
% $Log$
% Revision 2.5 2006/02/14 11:45:49 marwan
% *** empty log message ***
%
% Revision 2.4 2005/03/16 11:19:02 marwan
% help text modified
%
......@@ -211,7 +214,7 @@ switch(action)
'Tag','text',...
'String','Uni Potsdam',...
'Position',[66 2 22 3.5714]);
h2=textwrap(h,{[char(169),' AGNLD'],'University of Potsdam','2002-2006'});
h2=textwrap(h,{[char(169),' AGNLD'],'University of Potsdam','2002-2007'});
set(h,'String',h2)
%%%%% data and model axes
......@@ -251,7 +254,7 @@ switch(action)
set(h,'Position',[66.3333 25.1429-.33 pos(3) pos(4)])
h=axes('NextPlot','add');
for k=1:5,
h2=plot(0,0,'Tag',['criteria_line',num2str(k)],'Visible','off',props.criteria_line(k));
h2=plot(0,0,'Tag',['criteria_line',num2str(k)],'Visible','off',props.criteria_line(k));
end
set(h,props.axes,...
'Tag','criteria_axes',...
......@@ -435,8 +438,9 @@ switch(action)
case 'criteria'
set(h_fig,'CurrentAxes',h_criteria_axes)
h=findobj('Tag','significance_line','Parent',h_criteria_axes);
h=findobj('Tag','significance_line1','Parent',h_criteria_axes);
signif=get(h,'UserData');
for k=1:length(noshow_crit)
h=findobj('Tag',['criteria_line',num2str(noshow_crit(k))],'Parent',h_criteria_axes);
if ~isempty(h)
......@@ -447,7 +451,8 @@ switch(action)
for k=1:length(show_crit)
h=findobj('Tag',['criteria_line',num2str(show_crit(k))],'Parent',h_criteria_axes);
if isempty(h)
h=plot(1:maxm,crit(:,show_crit(k)));
h=plot(1:maxm,crit(:,show_crit(k)), 'Tag',['criteria_line',num2str(show_crit(k))]);
set(h,'Parent',h_criteria_axes,'Tag','criteria_line',props.criteria_line(k),'Visible','On')
set(h_criteria_axes,props.axes,...
'YTickLabel',[],...
......@@ -461,19 +466,44 @@ switch(action)
end
end
h=findobj('Tag','significance_line','Parent',h_criteria_axes);
% significance line for PACF
h=findobj('Tag','significance_line1','Parent',h_criteria_axes);
if isempty(h)
h=line([1 maxm],[signif(1) signif(1)])
set(h,props.criteria_line(6),...
'Parent',h_criteria_axes,...
'LineWidth',2,...
'Tag','significance_line1',...
'Color', props.criteria_line(2).Color, ...
'Visible','Off')
else
set(h,'YData',[signif(1) signif(1)],...
'XData',[1 maxm],...
'Visible','Off')
end
if strcmpi(get(findobj('Tag','criteria_line2','Parent',h_criteria_axes),'Visible'),'on')
set(h,'Visible','On')
else
set(h,'Visible','Off')
end
% significance line for Q criterion
h=findobj('Tag','significance_line2','Parent',h_criteria_axes);
if isempty(h)
h=line([1 maxm],[signif signif]);
h=line([1 maxm],[signif(2) signif(2)]);
set(h,props.criteria_line(6),...
'Parent',h_criteria_axes,...
'LineWidth',2,...
'Tag','significance_line',...
'LineWidth',2,...
'Color', props.criteria_line(5).Color, ...
'Tag','significance_line2',...
'Visible','Off')
else
set(h,'YData',[signif signif],...
set(h,'YData',[signif(2) signif(2)],...
'XData',[1 maxm],...
'Visible','Off')
end
if strcmpi(get(findobj('Tag','criteria_line5','Parent',h_criteria_axes),'Visible'),'on')
set(h,'Visible','On')
else
......@@ -548,7 +578,8 @@ switch(action)
% varianz
for p=1:maxm;
l=1:p;
V(p)=C(1)-sum(a(p+1,l+1).*C(l+1));
% V(p)=C(1)-sum(a(p+1,l+1).*C(l+1));
V(p)=C(1)-sum(a(p+1,l+1).^l .*C(l+1));
end
% criterias: 1 - residues variance
......@@ -566,23 +597,27 @@ switch(action)
y=filter([0 a(m+1,(1:m)+1)],1,x);
epsilon=(x-y);
epsilon_mean=mean(epsilon(m:end));
% sigma=sum(epsilon.^2)/(N);
sigma=var(epsilon);
% sigma=mean((x-mean(x)).*(y-mean(y)).^2);
clear rho
for k=1:25;
i=m+1:N-k-1;
rho(k)=sum((epsilon(i+1)-epsilon_mean).*(epsilon(i+k+1)-epsilon_mean))/sum((epsilon(i+1)-epsilon_mean).^2);
end
crit(m,1)=sigma;
crit(m,2)=a(m+1,m+1);
crit(m,3)=log(sigma)+2*(m+1)/(N);
crit(m,4)=log(sigma)+(m+1)*log(N)/(N);
crit(m,1)=sigma; % Variance of the residues
crit(m,2)=abs(a(m+1,m+1)); % PACF
crit(m,3)=log(sigma)+2*(m)/(N); % AIC
crit(m,4)=log(sigma)+(m)*log(N)/(N); % BIC
% crit(m,5)=log(sigma)+2*(m+1)*5*log(log(N-m))/(N-m);
crit(m,5)=N*sum(rho.^2);
end
signif=30/(max(crit(:,5))-min(crit(:,5))); % significance level for the Q criterion
% signif(1)=1.96 * std(diag(a(2:end,2:end))) / (max(crit(:,2))-min(crit(:,2))); % significance level for the PACF criterion
signif(1)=1.96 * sqrt(1/N) / (max(crit(:,2))-min(crit(:,2))); % significance level for the PACF criterion
signif(2)=30/(max(crit(:,5))-min(crit(:,5))); % significance level for the Q criterion
for k=1:size(crit,2);crit(:,k)=(crit(:,k)-min(crit(:,k)))/(max(crit(:,k))-min(crit(:,k)));end
y=make_model(a(2:end,2:end),V,in_m,N);
%%%% graphical output
......@@ -633,18 +668,44 @@ switch(action)
'XData',[1:size(crit,1)],...
'Visible','On')
end
end
% significance line for PACF criterion
h=findobj('Tag','significance_line1','Parent',h_criteria_axes);
if isempty(h)
h=line([1 maxm],[signif(1) signif(1)]);
set(h,props.criteria_line(6),...
'Parent',h_criteria_axes,...
'Tag','significance_line1',...
'Color', props.criteria_line(2).Color, ...
'UserData',signif,...
'LineWidth',2,...
'Visible','Off')
else
set(h,'YData',[signif(1) signif(1)],...
'XData',[1 maxm],...
'UserData',signif,...
'Visible','Off')
end
h=findobj('Tag','significance_line','Parent',h_criteria_axes);
if strcmpi(get(findobj('Tag','criteria_line2','Parent',h_criteria_axes),'Visible'),'on')
set(h,'Visible','On')
else
set(h,'Visible','Off')
end
% significance line for Q criterion
h=findobj('Tag','significance_line2','Parent',h_criteria_axes);
if isempty(h)
h=line([1 maxm],[signif signif]);
h=line([1 maxm],[signif(2) signif(2)]);
set(h,props.criteria_line(6),...
'Parent',h_criteria_axes,...
'Tag','significance_line',...
'UserData',signif,...
'LineWidth',2,...
'Tag','significance_line2',...
'UserData',signif,...
'Color', props.criteria_line(5).Color, ...
'LineWidth',2,...
'Visible','Off')
else
set(h,'YData',[signif signif],...
set(h,'YData',[signif(2) signif(2)],...
'XData',[1 maxm],...
'UserData',signif,...
'Visible','Off')
......@@ -654,11 +715,12 @@ switch(action)
else
set(h,'Visible','Off')
end
set(h_criteria_axes,props.axes,...
'Tag','criteria_axes',...
'Tag','criteria_axes',...
'YTickLabel',[],...
'Xlim',[1 maxm],...
'Ylim',[0 1],...
'Xlim',[1 maxm],...
'Ylim',[0 1],...
'UserData',crit,...
'Units','Norm',...
'NextPlot','add')
......
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