Function to find ar coefficients using Least squres
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Hi,
Can someone help me write a FUNCTION to estimate AR(p) coefficients using LEAST SQUARES?
Thanks
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Accepted Answer
Azzi Abdelmalek
on 24 Feb 2013
Edited: Azzi Abdelmalek
on 24 Feb 2013
Construct your measure matrix Fi,
yourcoeff=FI\y
Example
% y(n)=a1 y(n-1)+a2 y(n-2)+ a3 y(n-3) your system
% if y=[1 2 3 4 5 6 7 8 9 10]
y= [4;5;6;7] % Using 4 samples
FI=[3 2 1 % measure matrix
4 3 2
5 4 3
6 5 4]
% coeff=[a1;a2;a3] coefficients to find
coeff=FI\y
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