Skip to Main Content Skip to Search
Product Documentation

ivar - AR model estimation using instrumental variable method

Syntax

sys = ivar(data,na)
sys = ivar(data,na,nc)
sys = ivar(data,na,nc,max_size)

Description

sys = ivar(data,na) estimates an AR polynomial model, sys, using the instrumental variable method and the time series data data. na specifies the order of the A polynomial.

An AR model is represented by the equation:

In the above model, e(t) is an arbitrary process, assumed to be a moving average process of order nc, possibly time varying. nc is assumed to be equal to na. Instruments are chosen as appropriately filtered outputs, delayed nc steps.

sys = ivar(data,na,nc) specifies the value of the moving average process order, nc, separately.

sys = ivar(data,na,nc,max_size) specifies the maximum size of matrices formed during estimation.

Input Arguments

data

Estimation time series data.

data must be an iddata object with scalar output data only.

na

Order of the A polynomial

nc

Order of the moving average process representing e(t).

max_size

Maximum matrix size.

max_size specifies the maximum size of any matrix formed by the algorithm for estimation.

Specify max_size as a reasonably large positive integer.

Default: 250000

Output Arguments

sys

Identified polynomial model.

sys is an AR idpoly model which encapsulates the identified polynomial model.

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);
spectrum(miv,mls)

References

[1] Stoica, P., et al. Optimal Instrumental Variable Estimates of the AR-parameters of an ARMA Process, IEEE Trans. Autom. Control, Volume AC-30, 1985, pp. 1066–1074.

See Also

ar | arx | etfe | idpoly | polyest | spa | spectrum | step

  

 

Free Control Systems Interactive Kit

Learn more about resources for designing, testing, and implementing control systems.

Get free kit

Trials Available

Try the latest control systems products.

Get trial software
 © 1984-2012- The MathWorks, Inc.    -   Site Help   -   Patents   -   Trademarks   -   Privacy Policy   -   Preventing Piracy   -   RSS