Estimate impulse response using prewhitenedbased correlation analysis
ir=cra(data)
[ir,R,cl]
= cra(data,M,na,plot)
estimates
the impulse response for the timedomain data, ir
=cra(data
)data
.
[
estimates
correlation/covariance information, ir
,R
,cl
]
= cra(data
,M
,na
,plot
)R
, and the
99% confidence level for the impulse response, cl
.
cra
prewhitens the input sequence; that is, cra
filters u
through
a filter chosen so that the result is as uncorrelated (white) as possible.
The output y
is subjected to the same filter, and
then the covariance functions of the filtered y
and u
are
computed and graphed. The cross correlation function between (prewhitened)
input and output is also computed and graphed. Positive values of
the lag variable then correspond to an influence from u
to
later values of y
. In other words, significant
correlation for negative lags is an indication of feedback from y
to u
in
the data.
A properly scaled version of this correlation function is also
an estimate of the system's impulse response ir
.
This is also graphed along with 99% confidence levels. The output
argument ir
is this impulse response estimate,
so that its first entry corresponds to lag zero. (Negative lags are
excluded in ir
.) In the plot, the impulse response
is scaled so that it corresponds to an impulse of height 1/
T and
duration T, where T is the
sample time of the data.

Inputoutput data. Specify


Number of lags for which the covariance/correlation functions are computed.
Default: 20 

Order of the AR model to which the input is fitted. For the prewhitening, the input is fitted to an AR model of
order Use Default: 10 

Plot display control. Specify plot as one of the following integers:
Default: 1 

Estimated impulse response. The first entry of 

Covariance/correlation information.


99 % significance level for the impulse response. 
An often better alternative to cra
is impulseest
, which use a highorder FIR
model to estimate the impulse response.
impulse
 impulseest
 spa
 step