estimates partial autocorrelation coefficients Multiple channels can be used (one per row). [PARCOR, AR, PE] = parcor(AutoCov); % calculates Partial autocorrelation, autoregressive coefficients and residual error variance from the Autocorrelation function. [PARCOR] = parcor(acovf(x,p)); % calculates the Partial Autocorrelation coefficients of the data series x up to order p INPUT: AutoCov Autocorrelation function for lag=0:P OUTPUT AR autoregressive model parameter PARCOR partial correlation coefficients (= -reflection coefficients) PE remaining error variance All input and output parameters are organized in rows, one row corresponds to the parameters of one channel. The PARCOR coefficients are the negative reflection coefficients. A significance test is implemented in PACF. see also: PACF ACOVF ACORF DURLEV AC2RC REFERENCES: P.J. Brockwell and R.A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991. S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996. M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981. W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
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