Yule-Walker AR Estimator
Compute estimate of autoregressive (AR) model parameters using Yule-Walker method
Libraries:
DSP System Toolbox /
Estimation /
Parametric Estimation
Description
The Yule-Walker AR Estimator block uses the Yule-Walker AR method, also called the autocorrelation method, to fit an autoregressive (AR) model to the windowed input data by minimizing the forward prediction error in the least squares sense. This process results in the Yule-Walker equations, which the block solves using the Levinson-Durbin recursion. The block outputs are always nonsingular.
Ports
Input
Output
Parameters
Block Characteristics
Data Types |
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Multidimensional Signals |
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Variable-Size Signals |
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More About
References
[1] Kay, S. M. Modern Spectral Estimation: Theory and Application. Englewood Cliffs, NJ: Prentice-Hall, 1988.
[2] Marple, S. L., Jr., Digital Spectral Analysis with Applications. Englewood Cliffs, NJ: Prentice-Hall, 1987.
Extended Capabilities
Version History
Introduced before R2006a