armodcov.m

来自「Introduction to Statistical and Adaptive」· M 代码 · 共 28 行

function [ahat,VarP] = armodcov(x,P)
% Modofied covariance method to compute AR(P) model coefficients
% [ahat,e,Ep_fb] = armodcov(x,P)
%  Inputs:
%          x : data vector; P : Model order
% Outputs:
%          ahat : coefficient estimates
%             e : error vector
%          VarP : Error variance (forward_backword)
%
%-----------------------------------------------------------
% Copyright 2000, by Dimitris G. Manolakis, Vinay K. Ingle,
% and Stephen M. Kogon.  For use with the book
%
% "Statistical and Adaptive Signal Processing"
%
% McGraw-Hill Higher Education.
%-----------------------------------------------------------

Rbar = lsmatrix(x,P+1);
if isreal(Rbar)
   Rfb = Rbar + flipud(fliplr(Rbar));
else
   Rfb = Rbar + flipud(fliplr(conj(Rbar)));
end

[ahat,VarP] = olsigest(Rfb,1);