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Alex

arburg function - continuous time

Asked by Alex
on 5 Dec 2012

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!

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