Function Reference

Signal Processing

General

detrend
If X is a vector, `detrend (X, P)' removes the best fit of a polynomial of order P from the data X.
fft
Compute the FFT of A using subroutines from FFTW.
fftw
Manage FFTW wisdom data.
ifft
Compute the inverse FFT of A using subroutines from FFTW.
fft2
Compute the two dimensional FFT of A using subroutines from FFTW.
ifft2
Compute the inverse two dimensional FFT of A using subroutines from FFTW.
fftn
Compute the N dimensional FFT of A using subroutines from FFTW.
ifftn
Compute the inverse N dimensional FFT of A using subroutines from FFTW.
fftconv
Return the convolution of the vectors A and B, as a vector with length equal to the `length (a) + length (b) - 1'.
fftfilt
With two arguments, `fftfilt' filters X with the FIR filter B using the FFT.
filter
Return the solution to the following linear, time-invariant difference equation:
filter2
Apply the 2-D FIR filter B to X.
freqz
Return the complex frequency response H of the rational IIR filter whose numerator and denominator coefficients are B and A, respectively.
freqz_plot
Plot the pass band, stop band and phase response of H.
sinc
Return sin(pi*x)/(pi*x).
unwrap
Unwrap radian phases by adding multiples of 2*pi as appropriate to remove jumps greater than TOL.
arch_fit
Fit an ARCH regression model to the time series Y using the scoring algorithm in Engle's original ARCH paper.
arch_rnd
Simulate an ARCH sequence of length T with AR coefficients B and CH coefficients A.
arch_test
For a linear regression model
arma_rnd
Return a simulation of the ARMA model
autocor
Return the autocorrelations from lag 0 to H of vector X.
autocov
Return the autocovariances from lag 0 to H of vector X.
autoreg_matrix
Given a time series (vector) Y, return a matrix with ones in the first column and the first K lagged values of Y in the other columns.
bartlett
Return the filter coefficients of a Bartlett (triangular) window of length M.
blackman
Return the filter coefficients of a Blackman window of length M.
diffpara
Return the estimator D for the differencing parameter of an integrated time series.
durbinlevinson
Perform one step of the Durbin-Levinson algorithm.
fftshift
Perform a shift of the vector V, for use with the `fft' and `ifft' functions, in order the move the frequency 0 to the center of the vector or matrix.
ifftshift
Undo the action of the `fftshift' function.
fractdiff
Compute the fractional differences (1-L)^d x where L denotes the lag-operator and d is greater than -1.
hamming
Return the filter coefficients of a Hamming window of length M.
hanning
Return the filter coefficients of a Hanning window of length M.
hurst
Estimate the Hurst parameter of sample X via the rescaled range statistic.
pchip
Piecewise Cubic Hermite interpolating polynomial.
periodogram
For a data matrix X from a sample of size N, return the periodogram.
rectangle_lw
Rectangular lag window.
rectangle_sw
Rectangular spectral window.
sinetone
Return a sinetone of frequency FREQ with length of SEC seconds at sampling rate RATE and with amplitude AMPL.
sinewave
Return an M-element vector with I-th element given by `sin (2 * pi * (I+D-1) / N)'.
spectral_adf
Return the spectral density estimator given a vector of autocovariances C, window name WIN, and bandwidth, B.
spectral_xdf
Return the spectral density estimator given a data vector X, window name WIN, and bandwidth, B.
spencer
Return Spencer's 15 point moving average of every single column of X.
stft
Compute the short-term Fourier transform of the vector X with NUM_COEF coefficients by applying a window of WIN_SIZE data points and an increment of INC points.
synthesis
Compute a signal from its short-time Fourier transform Y and a 3-element vector C specifying window size, increment, and window type.
triangle_lw
Triangular lag window.
triangle_sw
Triangular spectral window.
yulewalker
Fit an AR (p)-model with Yule-Walker estimates given a vector C of autocovariances `[gamma_0, .