ivar - Estimate AR model using instrumental variable method
Syntax
m = ivar(y,na)
m = ivar(y,na,nc,maxsize)
Description
Estimate AR model using the instrumental variable method and
returning idpoly object. The parameters of an AR
model structure
are estimated using the instrumental variable method. y is
the signal to be modeled, entered as an iddata object
(outputs only). na is the order of the A polynomial
(the number of A parameters). The resulting estimate
is returned as an idpoly model m.
The routine is for scalar time-domain signals only.
In the above model,
is an arbitrary process, assumed
to be a moving average process of order nc, possibly
time varying. (Default is nc = na.) Instruments
are chosen as appropriately filtered outputs, delayed nc steps.
The optional argument maxsize is explained
under Algorithm Properties.
Examples
Compare spectra for sinusoids in noise, estimated by the IV
method and by the forward-backward least squares method.
y = iddata(sin([1:500]'*1.2) + sin([1:500]'*1.5) + ...
0.2*randn(500,1),[]);
miv = ivar(y,4);
mls = ar(y,4);
bode(miv,mls)
References
Stoica, P., et al., Optimal Instrumental variable
estimates of the AR-parameters of an ARMA process, IEEE
Trans. Autom. Control, Vol. AC-30, 1985, pp. 1066-1074.
See Also
 | isreal | | ivstruc |  |
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