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ar_model

version 1.2.0.0 (1.68 KB) by Giacomo Alessandroni
AR_MODEL compute AR-models parameters of input signal using Yule-Walker method.

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Updated 09 Aug 2013

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LAMBDA = AR_MODEL(Y, N) estimates an N:th order autoregressive polynomial model (AR) for time series Y:

y(t) + l_1 * y(t-1) + l_2 * y(t-2) + ... +l_N * y(t-N) = e(t)

Inputs:

Y: The time series to be modeled, a column vector of values. The data must be uniformly sampled.

N: The order of the AR model (positive integer)

Output:

LAMBDA: AR model delivered as an array where are [1 l_1 l_2 l_3 ... l_N].
The model is estimated using "Yule-Walker" approach with no windowing.

Cite As

Giacomo Alessandroni (2021). ar_model (https://www.mathworks.com/matlabcentral/fileexchange/42774-ar_model), MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
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