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Using prony to obtain MA coefficients

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Chris Koen
Chris Koen il 10 Apr 2022
x is an ARMA(p,q) time series. How can the q MA coefficients be obtained using the prony function.
My tests, using simulated data, show that [b a]=prony(x,q,p) gives the AR coefficients in the vector a,
but the vector b does not return the q MA coeffients.

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Prodotti


Release

R2015a

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