lattn

recursive solution of normal equations

Calling Sequence

[la,lb]=lattn(n,p,cov)

Arguments

: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

:

Description

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