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Home Page: http://metacpan.org/release/Algorithm-Burg
License: Other
Read-only release history for Algorithm-Burg
Home Page: http://metacpan.org/release/Algorithm-Burg
License: Other
NAME Algorithm::Burg - extrapolate time series using Burg's method VERSION version 0.001 SYNOPSIS DESCRIPTION The Algorithm::Burg module uses the Burg method to fit an autoregressive (AR) model to the input data by minimizing (least squares) the forward and backward prediction errors while constraining the AR parameters to satisfy the Levinson-Durbin recursion. DISCLAIMER: This is work in progress! The code is buggy and the interface is subject to change. ATTRIBUTES coefficients AR model polynomial coefficients computed by the train method. order AR model order series_tail Store the last "order" terms of the time series for "predict($n)". METHODS train($time_series) Computes vector of coefficients using Burg algorithm applied to the input source data $time_series. predict($n) Predict $n next values for the time series. If $n is 0 or bigger than "order", assume $n = "order". #!/usr/bin/env perl; use strict; use warnings qw(all); use Algorithm::Burg; ...; my $burg = Algorithm::Burg->new(order => 150); $burg->train(\@time_series); my $result = $burg->predict(); REFERENCES * Burg's Method, Algorithm and Recursion <http://www.emptyloop.com/technotes/A%20tutorial%20on%20Burg's%20meth od,%20algorithm%20and%20recursion.pdf> * C++ implementation <https://github.com/RhysU/ar/blob/master/collomb2009.cpp> * Matlab/Octave implementation <https://gist.github.com/tobin/2843661> * Python implementation <https://github.com/MrKriss/Old-PhD-Code/blob/master/Algorithms/burg_ AR.py> AUTHOR Stanislaw Pusep <[email protected]> COPYRIGHT AND LICENSE This software is copyright (c) 2014 by Stanislaw Pusep. This is free software; you can redistribute it and/or modify it under the same terms as the Perl 5 programming language system itself.
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