lsarma.m

Least Square - ARMA 算法的MATLAB代码, 是频谱分析(通常是在高级DSP这门课中会用到的)的常用算法

function [a,b,sig2]=lsarma(y,n,m,K)
%
% The two-stage Least-Squares ARMA method 
% given in section (3.7.2)
%
% [a,b,sig2]=lsarma(y,n,m,K);
% 
%      y     -> the data vector
%      n     -> AR model order
%      m     -> MA model order
%      K     -> the order of the truncated AR model 
%      a     <- the AR coefficient vector
%      b     <- the MA coefficient vector
%      sig2  <- the noise variance
%

% Copyright 1996 by R. Moses

y=y(:);
N=length(y);             % data length
L=K+m;

% N-L should be >= n+m
if (N-L) < n+m | K>=N/2-1,
  error('K is too large');
end

% estimate alpha coefficients 
alpha=lsar(y,K);
  
% estimate the noise sequence e(t)
e=filter(alpha,1,y);       

% construct the z vector and Z matrix in equations (3.7.12) and (3.7.13)
z=[y(L+1:N)];
Z=[toeplitz(y(L:N-1),y(L:-1:L-n+1).'),-1*toeplitz(e(L:N-1),e(L:-1:K+1).')];

% estimate theta (a,b)
theta=-Z\z;
a=[1;theta(1:n)];
b=[1;theta(n+1:m+n)];

% estimate the noise covariance
sig2=norm(Z*theta+z)^2/(N-L);