yulewalker.m

arma模型的功率谱估计代码。还包括系统的极零点分析等完整软件包。

function a = YuleWalker(x, p, q);
%Yule-Walker算法估计x(n)的ARMA(p,q)模型参数，返回e*(1+B)/(1+A)中的A
%L = 50;     %L取值
L = p*2.5;
N = length(x);
for i=1:L
    for j=1:p
        R(i,j) = Rxx(x, q+i-j); % R@L+q
    end
    r(i) = Rxx(x, q+i);    % r@L+q
end
a = -1*pinv(R)*r';
%test
% clear;
% close all;
% a = [1, -1.3817, 1.5632, -0.8843, 0.4096];
% b = [1, 0.3544, 0.3508, 0.1736, 0.2401];
% x = xx(a, b, 200, 256);
% arma_a = YuleWalker(x, 4, 4)
% arma_a2 = Yule_Walker(x, 4, 4)