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fixrts should not be necessary ... I've tried it with and without ...
no difference ...
I can not in good conscience post code from NR ... see the copyright
notices at NR ...
--- In amibroker@xxxxxxxxxxxxxxx, "Tom Tom" <michel_b_g@xxx> wrote:
>
> Hi,
>
> Thanks Fred. With this formula we can compute directly DSP from AR
coef.
>
> I find very interresting things :
> 1- About how the autor estimate coef in NR. Estimator they mention
for
> autocorrelation calculation is the one not biased, and can lead to
some
> inaccurate result (and problem to result coefficient, so stability
problem).
> See 13.6.10 : http://www.library.cornell.edu/nr/bookfpdf/f13-6.pdf
>
> Exemple:
> x1=1.0; x2=1.1 et x3=1.0
> r0=1.07, r1=1.1, r2=1.0
> It should be impossible to have r(i)<r(i+1) and lead to some real
problem
> after (non positive matrix for some estimation method, inversion
pbl,
> singularity, pole outside unit circle maybe...).
>
> Biased one is : Autocorr(i)=(1/N)sum(Yi*Yi+j,from j=1 to n-i)
> 1/(N-i) is replaced by 1/N.
> Estimator is biased but variance is more weak than non biased one.
> It has been show that the quadratic error (mean/variance) is less
for the
> biased one (Jenkin and Watts).
>
> Author from NR use Burg algorytm to compute AR coef. I use Yuke
Walker in
> the posted AFL formula.
>
> Do you try to compute this code in AFL : non-biased+burg ?
> Is it accurate, fast ?
>
> Other interessting section are :
>
> 3- subroutine fixrts -> can help fix the pole for stability so we
can use
> non-biased estimator and check after stability
>
> 4- (13.6.18) to remove the bias. For now i substract the mean and
add it
> back after prediction. I was thinking about polyfit to do that and
take
> spline trend in consideration.
>
>
> If you got any code from "fixrts" and burg than you can share i
will be
> pleased to include it in AR model to add more option for the user,
so he can
> choose methode for compute coefficient and possible pole correction.
> Maybe final stability will be improved so ARMA can be now compute
too.
>
> And last, do you make spectral comparaison between Burg and Yule
Walker
> Estimated DSP for quotes data ?
>
> Cheers,
> Mich.
>
>
>
>
>
>
>
>
> ----- Original Message -----
> From: Fred
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, November 12, 2006 6:27 PM
> Subject: [amibroker] Re: Polynomial Trendlines
>
>
> If you look at the corresponding Fortran 77 link at NR you'll see
the
> graph that relates to output from calling the evlmem function.
>
> _________________________________________________________________
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> http://mobile.live.fr/messenger/ten/
>
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