Signal Processing Toolbox

aryule

Estimate AR model parameters using Yule-Walker method

Syntax

• a = aryule(x,p)
  [a,e] = aryule(x,p)
  [a,e,k] = aryule(x,p)
  

Description

a = aryule(x,p) uses the Yule-Walker method, also called the autocorrelation method, to fit a pth order autoregressive (AR) model to the windowed input signal, x, by minimizing the forward prediction error in the least-squares sense. This formulation leads to the Yule-Walker equations, which are solved by the Levinson-Durbin recursion. x is assumed to be the output of an AR system driven by white noise. Vector a contains the normalized estimate of the AR system parameters, A(z), in descending powers of z.

Because the method characterizes the input data using an all-pole model, the correct choice of the model order p is important.

[a,e] = aryule(x,p) returns the variance estimate, e, of the white noise input to the AR model.

[a,e,k] = aryule(x,p) returns a vector, k, of reflection coefficients.

See Also

arburg, arcov, armcov, lpc, prony, pyulear

armcov

barthannwin

© 1994-2005 The MathWorks, Inc.