ar_covar (MathScript RT Module Function)
Owning Class: modeling and prediction
Requires: MathScript RT Module
Syntax
a = ar_covar(x, n)
[a, e] = ar_covar(x, n)
Legacy Name: arcov
Description
Uses the covariance method to estimate autoregressive (AR) model parameters.
Inputs
| Name | Description |
|---|---|
| x | Specifies the input signal. x is a vector. |
| n | Specifies the order of the AR model. n is a positive integer. |
Outputs
| Name | Description |
|---|---|
| a | Returns the estimate of AR model parameters. a is a vector. |
| e | Returns the variance estimate of the white noise input to the AR model. e is a real number. |
Examples
t = 1:20;
x = t+rand(1, length(t));
[a, e] = ar_covar(x, 1)
y = stepzd(sqrt(e), a, length(t));
plot(t, x, t, y)