aryule
This function fits an AR (p)-model with Yule-Walker estimates.
Calling Sequence
a = aryule (x, p)
[a, v] = aryule (x, p)
[a, v, k] = aryule (x, p)
Parameters
x:
vector of real or complex numbers, length > 2
p:
positive integer value < length(x) - 1
a, v, k:
Output variables
Description
This is an Octave function.
This function fits an AR (p)-model with Yule-Walker estimates.
The first argument is the data vector which is to be estimated.
Output variable a gives the AR coefficients, v gives the variance of the white noise and k gives the reflection coefficients to be used in the lattice filter.
Examples