ArDurbinEstimator

class ArDurbinEstimator : public tsa::AlgoBase

Estimate the AR coefficients and the PARCOR of a time series using its correlation function.

Operations

void execute(Dvector &AutoCorr, Dvector &ArParcor)

The excute method estimate the AR and PARCOR parameters with the Durbin rithm.

Pre

The input of the algorithm must be the autocorrelation function in Toeplitz form

Parameters

• AutoCorr: autocorrelation in Toeplitz form

• ArParcor: vector containing the Reflection coefficients

Public Functions

ArDurbinEstimator(unsigned int ArOrder)

Constructor

Parameters

• ArOrder: order of the the AR model

~ArDurbinEstimator()

Destructor