1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
|
function [sig,resid]=epred(r,s,q,coef,y,u,b0f)
//<sig,resid>=epred(r,s,q,coef,y,u,b0f)
// Utilisee par armax1 pour calculer l'erreur de prediction
// coef= [-a1,..,-ar,b0,...,b_s,d1,...,d_q]'
// ou coef= [-a1,..,-ar,b1,...,b_s,d1,...,d_q]' si b0f=1
//!
// Copyright INRIA
[n1,n2]=size(y);
t0=maxi(maxi(r,s+1),1)+1;
if r<>0;XTM1=y((t0-1):-1:(t0-r));else XTM1=[];end
if s<>-1;UTM1=u(t0-b0f:-1:(t0-s));else UTM1=[];end
if q<>0;ETM1=0*ones(1,q);else ETM1=[];end
npar=r+s+1-b0f+q
ZTM1=[XTM1,UTM1,ETM1]';
resid=0*ones(1,n2);
for t=t0+1:n2,
if r<>0;XT=[ y(t-1), XTM1(1:(r-1))];else XT=[];end
if s<>-1;UT=[ u(t-b0f), UTM1(1:(s-b0f))];else UT=[];end
resid(t)=y(t-1)- coef'*ZTM1;
if q<>0;ET=[ resid(t), ETM1(1:(q-1))];else ET=[];end
ZT=[XT,UT,ET]';
XTM1=XT;UTM1=UT;ETM1=ET;ZTM1=ZT;
end
sig=1/(n2-t0)*sum(resid.*resid)
|
