Scilab Function

lattn - recursive solution of normal equations

Sequence d'appel

[la,lb]=lattn(n,p,cov)

Parametres

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

Auteur