Scilab Function
Last update : 15/2/39977367
lattn - recursive solution of normal equations
Calling Sequence
- [la,lb]=lattn(n,p,cov)
Parameters
-
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
Author
G. Le V.