arcov - Estimate AR model parameters using covariance method
Syntax
a = arcov(x,p)
[a,e] = arcov(x,p)
Description
a = arcov(x,p)
uses the covariance method to fit a pth order autoregressive
(AR) model
to the input signal, x, which is assumed to be
the output of an AR system driven by white noise. This method minimizes
the forward prediction error in the least-squares sense. Vector a contains
the normalized estimate of the AR system parameters, A(z),
in descending powers of z.
Because the method characterizes the input data using an all-pole
model, the correct choice of the model order p is
important.
[a,e] = arcov(x,p)
returns the variance estimate, e, of the white
noise input to the AR model.
See Also
arburg, armcov, aryule, lpc, pcov, prony
 | arburg | | armcov |  |
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