aryule: Autoregressive model coefficients - Yule-Walker method
Description
compute autoregressive all-pole model parameters using the Yule-Walker
method.
Usage
aryule(x, p)
Value
A list containing the following elements:
a
vector or matrix containing (p + 1) autoregression
coefficients. If x is a matrix, then each row of a corresponds to
a column of x. a has p + 1 columns.
e
white noise input variance, returned as a vector. If x is
a matrix, then each element of e corresponds to a column of x.
k
Reflection coefficients defining the lattice-filter embodiment
of the model returned as vector or a matrix. If x is a matrix,
then each column of k corresponds to a column of x.
k has p rows.
Arguments
x
input data, specified as a numeric or complex vector or matrix. In
case of a vector it represents a single signal; in case of a matrix each
column is a signal.
p
model order; number of poles in the AR model or limit to the number
of poles if a valid criterion is provided. Must be smaller than the length
of x minus 1.