Hi!
I'm using arburg function to obtain AR coefficients of a time series, so I get the AR system parameters in discrete time according to the equation presented here
http://www.weizmann.ac.il/matlab/toolbox/signal/arburg.html
I'm wondering how to obtain the variance estimated with arburg -> e, in continuous time for a third AR process or higher.
I would appreciate any suggestion. Thanks!
0 Comments