LAMBDA = AR_MODEL(Y, N) estimates an N:th order autoregressive polynomial model (AR) for time series Y:
y(t) + l_1 * y(t-1) + l_2 * y(t-2) + ... +l_N * y(t-N) = e(t)
Y: The time series to be modeled, a column vector of values. The data must be uniformly sampled.
N: The order of the AR model (positive integer)
LAMBDA: AR model delivered as an array where are [1 l_1 l_2 l_3 ... l_N].
The model is estimated using "Yule-Walker" approach with no windowing.
Giacomo Alessandroni (2021). ar_model (https://www.mathworks.com/matlabcentral/fileexchange/42774-ar_model), MATLAB Central File Exchange. Retrieved .
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