| | | Scilab Reference Manual | |
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lattn — recursive solution of normal equations
[la,lb]=lattn(n,p,cov)
| 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 |
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
G. Le V.
| << kalm | lattp >> |