예제 #1
0
def yule_walker(x,lag):
    number_of_rows = number_of_cols = lag
    sum_matrix = np.zeros(number_of_rows**2).reshape((number_of_rows,number_of_rows))
    for i in range(0,number_of_rows):
        for j in range(0,number_of_cols):
            if(i==j):
                sum_matrix[i][j] = 1.0
            else:
                sum_matrix[i][j] = stat.autocorr(x,abs(i-j))
    return sum_matrix
예제 #2
0
def yule_matrix_rhs(x,lag):
    number_of_rows = number_of_cols = lag
    rhs_matrix = np.zeros(number_of_rows).reshape((number_of_rows,1))
    for i in range(0,number_of_rows-1):  
        rhs_matrix[i] = stat.autocorr(x,i+1)
    return rhs_matrix