Recursive solution of normal equations (original) (raw)
Scilab 5.3.3
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Scilab help >> Signal Processing > lattn
lattn
recursive solution of normal equations
Calling Sequence
Arguments
n
maximum order of the filter
p
fixed dimension of the MA part. If p= -1, the algorithm reduces to the classical Levinson recursions.
cov
matrix containing the Rk's (d*d matrices for a d-dimensional process).It must be given the following way
la
list-type variable, giving the successively calculated polynomials (degree 1 to degree n),with coefficients Ak
Description
solves recursively on n (p being fixed) the following system (normal equations), i.e. identifies the AR part (poles) of a vector ARMA(n,p) process
where {Rk;k=1,nlag} is the sequence of empirical covariances