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<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN" "http://www.w3.org/TR/REC-html40/loose.dtd"><html><head> <title>Description of mvar</title> <meta name="keywords" content="mvar"> <meta name="description" content="Estimates Multi-Variate AutoRegressive model parameters"> <meta http-equiv="Content-Type" content="text/html; charset=iso-8859-1"> <meta name="generator" content="m2html © 2003 Guillaume Flandin"> <meta name="robots" content="index, follow"> <link type="text/css" rel="stylesheet" href="../m2html.css"></head><body><a name="_top"></a><div><a href="../index.html">Home</a> > <a href="index.html">tsa</a> > mvar.m</div><!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td><td align="right"><a href="index.html">Index for tsa <img alt=">" border="0" src="../right.png"></a></td></tr></table>--><h1>mvar</h1><h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>Estimates Multi-Variate AutoRegressive model parameters</strong></div><h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="box"><strong>function [ARF,RCF,PE,DC,varargout] = mvar(Y, Pmax, Mode); </strong></div><h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2><div class="fragment"><pre class="comment"> Estimates Multi-Variate AutoRegressive model parameters function [AR,RC,PE] = mvar(Y, Pmax); INPUT: Y Multivariate data series Pmax Model order OUTPUT AR multivariate autoregressive model parameter (same format as in [4] RC reflection coefficients (= -PARCOR coefficients) PE remaining error variance All input and output parameters are organized in columns, one column corresponds to the parameters of one channel. A multivariate inverse filter can be realized with [AR,RC,PE] = mvar(Y,P); e = mvfilter([eye(size(AR,1)),-AR],eye(size(AR(1))),Y); see also: <a href="mvfilter.html" class="code" title="function [x,z]=mvfilter(B,A,x,z)">MVFILTER</a>, <a href="covm.html" class="code" title="function [CC,NN] = covm(X,Y,Mode);">COVM</a>, <a href="sumskipnan.html" class="code" title="function [o,count,SSQ,S4M] = sumskipnan(i,DIM)">SUMSKIPNAN</a>, <a href="arfit2.html" class="code" title="function [w, MAR, C, sbc, fpe, th]=arfit2(Y, pmin, pmax, selector, no_const)">ARFIT2</a></pre></div><!-- crossreference --><h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>This function calls:<ul style="list-style-image:url(../matlabicon.gif)"><li><a href="covm.html" class="code" title="function [CC,NN] = covm(X,Y,Mode);">covm</a> COVM generates covariance matrix</li><li><a href="mvar.html" class="code" title="function [ARF,RCF,PE,DC,varargout] = mvar(Y, Pmax, Mode);">mvar</a> Estimates Multi-Variate AutoRegressive model parameters</li><li><a href="mvfilter.html" class="code" title="function [x,z]=mvfilter(B,A,x,z)">mvfilter</a> Multi-variate filter function</li></ul>This function is called by:<ul style="list-style-image:url(../matlabicon.gif)"><li><a href="arfit2.html" class="code" title="function [w, MAR, C, sbc, fpe, th]=arfit2(Y, pmin, pmax, selector, no_const)">arfit2</a> ARFIT2 estimates multivariate autoregressive parameters</li><li><a href="mvar.html" class="code" title="function [ARF,RCF,PE,DC,varargout] = mvar(Y, Pmax, Mode);">mvar</a> Estimates Multi-Variate AutoRegressive model parameters</li></ul><!-- crossreference --><hr><address>Generated on Tue 17-Aug-2004 00:13:21 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address></body></html>⌨️ 快捷键说明
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