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lattn(1) Scilab Function lattn(1)
NAME
lattn - recursive solution of normal equations
CALLING SEQUENCE
[la,lb]=lattn(n,p,cov)
PARAMETERS
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
| R0 |
| R1 |
cov=| R2 |
| . |
| . |
|Rnlag|
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 equa-
tions), i.e. identifies the AR part (poles) of a vector ARMA(n,p) process
|Rp+1 Rp+2 . . . . . Rp+n |
|Rp Rp+1 . . . . . Rp+n-1|
| . Rp . . . . . . |
| |
|I -A1 -A2 . . .-An|| . . . . . . . . |=0
| . . . . . . . . |
| . . . . . . . . |
| . . . . . . . Rp+1 |
|Rp+1-n. . . . . . Rp |
where {Rk;k=1,nlag} is the sequence of empirical covariances
AUTHOR
G. Le V.
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