ar_model

AR_MODEL compute AR-models parameters of input signal using Yule-Walker method.
820 Downloads
Updated 9 Aug 2013

View License

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 (2024). ar_model (https://www.mathworks.com/matlabcentral/fileexchange/42774-ar_model), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
1.2.0.0

Changed the output (added 1 as first element of vector for best use).
Replace inv(A)*b with A\b for speed.

1.0.0.0