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rmle

PURPOSE ^

RMLE estimates AR Parameters using the Recursive Maximum Likelihood

SYNOPSIS ^

function [a,VAR,S,a_aux,b_aux,e_aux,MLE,pos] = rmle(arg1,arg2);

DESCRIPTION ^

 RMLE estimates AR Parameters using the Recursive Maximum Likelihood 
 Estimator according to [1]
 
 Use: [a,VAR]=rmle(x,p)
 Input: 
 x is a column vector of data
 p is the model order
 Output:
 a is a vector with the AR parameters of the recursive MLE
 VAR is the excitation white noise variance estimate

 Reference(s):
 [1] Kay S.M., Modern Spectral Analysis - Theory and Applications. 
       Prentice Hall, p. 232-233, 1988.

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:
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