ArMCovariance Routine

Summary

Modified covariance method for autoregressive parameter estimation.

Declaration

Procedure ArMCovariance(Src: TVec; Order: integer; A: TVec; out E: TSample);

Description

The AR parameters are estimated by minimizing the average of the estimated forward and backward prediction error powers. Src contains the data on which the autoregressive parameter estimation (placed in A) should be based. Order defines the Order of the autoregressive process. E is the prediction error.

See Also
"Modern spectral estimation", Steven M. Kay, Prentice-Hall, Page 225
ArBurg
ArCovariance
ArYuleWalker