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Aide Scilab >> Traitement du Signal > lattn

lattn

recursive solution of normal equations

Calling Sequence

[la,lb]=lattn(n,p,cov)

Arguments

n

maximum order of the filter

p

fixed dimension of the MA part. If p= -1, the algorithm reduces to the classical Levinson recursions.

cov

matrix containing the Rk's (d*d matrices for a d-dimensional process).It must be given the following way

la

list-type variable, giving the successively calculated polynomials (degree 1 to degree n),with coefficients Ak

Description

solves recursively on n (p being fixed) the following system (normal equations), i.e. identifies the AR part (poles) of a vector ARMA(n,p) process

where {Rk;k=1,nlag} is the sequence of empirical covariances

Authors

G. Le V.

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Last updated:
Wed Oct 05 12:10:56 CEST 2011