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+## Copyright (C) 1995  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:  durbinlevinson (c, [oldphi, oldv])
+##
+## Performs one step of the Durbin-Levinson algorithm.
+##
+## The vector c_t = [gamma_0, ..., gamma_t] contains the autocovariances
+## from lag 0 to t, oldphi the coefficients based on c_(t-1) and oldv
+## the corresponding error.
+##
+## If oldphi is omitted, all steps from 1 to t of the algorithm are
+## performed.
+   
+## Author:  FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description:  Perform one step of the Durbin-Levinson algorithm
+  
+function [newphi, newv] = durbinlevinson (c, oldphi, oldv)
+  
+  if( !((nargin == 1) || (nargin == 3)) )
+    usage ("durbinlevinson (c, [oldphi, oldv])");
+  endif
+  
+  if( columns (c) > 1 )
+    c=c';
+  endif
+
+  newphi = 0;
+  newv = 0;
+  
+  if (nargin == 3)
+    
+    t = length (oldphi) + 1;
+  
+    if (length (c) < t+1)
+      error ("durbilevinson:  c too small");
+    endif
+  
+    if (oldv == 0)
+      error ("durbinlevinson: oldv = 0");
+    endif
+    
+    if (rows (oldphi) > 1 )
+      oldphi = oldphi';
+    endif
+    
+    newphi = zeros (1, t);
+    newphi(1) = ( c(t+1) - oldphi * c(2:t) ) / oldv;
+    for i = 2 : t
+      newphi(i) = oldphi(i-1) - newphi(1) * oldphi(t-i+1);
+    endfor
+    newv = ( 1 - newphi(1)^2 ) * oldv;
+    
+  elseif(nargin == 1)
+    
+    tt = length (c)-1;
+    oldphi = c(2) / c(1);
+    oldv = ( 1 - oldphi^2 ) * c(1);
+    
+    for t = 2 : tt
+    
+      newphi = zeros (1, t);
+      newphi(1) = ( c(t+1) - oldphi * c(2:t) ) / oldv;
+      for i = 2 : t
+	newphi(i) = oldphi(i-1) - newphi(1) * oldphi(t-i+1);
+      endfor
+      newv = ( 1 - newphi(1)^2 ) * oldv;
+      
+      oldv = newv;
+      oldphi = newphi;
+    
+    endfor
+    
+  endif
+
+endfunction