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spectral_adf.m

## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
## 
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
## 
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details. 
## 
## You should have received a copy of the GNU General Public License
## along with this file.  If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.

## usage:  retval = spectral_adf (c, [win, [b]])
## 
## Returns the spectral density estimator.
## c ....... vector of autocovariances (starting at lag 0)
## win ..... window name, eg. "triangle" or "rectangle"
##           spectral_adf searches for a function called win_lw ()
## b ....... bandwidth
## 
## If win is omitted, the triangle window is used as default.
## If b is omitted, 1 / sqrt( length (c)) is used as default.
  
## Author:  FL <Friedrich.Leisch@ci.tuwien.ac.at>
## Description:  Spectral density estimation
  
function retval = spectral_adf (c, win, b)
  
  cr = length (c);
  
  if (columns (c) > 1)
    c=c';
  endif

  if (nargin < 3)
    b = 1 / ceil (sqrt (cr));
  endif

  if (nargin == 1)
    w = triangle_lw (cr, b);
  else
    win = [win, "_lw"];
    w = feval (win, cr, b);
  endif
      
  c = c .* w;
  
  retval = 2 * real (fft (c)) - c(1);
  retval = [zeros (cr, 1) retval];
  retval(:, 1) = (0 : xr-1)' / xr;
  
endfunction
    

  



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