lattp

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 p),with coefficients Ak

Description

This function identifies the MA part of a vector ARMA(n,p) process.

Example

//Generate the process t1=0:0.1:100; y1=sin(2*%pi*t1)+sin(2*%pi*2*t1); y1=y1+rand(y1,"normal"); //Covariance of y1 nlag=128; c1=corr(y1,nlag); c1=c1'; //Compute the filter with maximum order=15 and p=5 n=5; p=2; [la1,sig1]=lattp(n,p,c1);

See also

• levin — Toeplitz system solver by Levinson algorithm (multidimensional)
• lattn — recursive solution of normal equations