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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*dmatrices 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
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