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
• 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

Author

G. Le V.