Scilab 5.5.1
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See the recommended documentation of this function

# lattp

Identification of MA part of a vector ARMA process

### Calling Sequence

`[la,lb]=lattp(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 p),with coefficients Ak

### Description

This function identifies the MA part of a vector ARMA(n,p) process.

### Example

```//Generate the process
t1=0:0.1:100;
y1=sin(2*%pi*t1)+sin(2*%pi*2*t1);
y1=y1+rand(y1,"normal");

//Covariance of y1
nlag=128;
c1=corr(y1,nlag);
c1=c1';

//Compute the filter with maximum order=15 and p=5
n=5; p=2;
[la1,sig1]=lattp(n,p,c1);```

• levin — Toeplitz system solver by Levinson algorithm (multidimensional)
• lattn — recursive solution of normal equations
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