void ARBurgFit(TVec *Data, TVec *Phi, double &Sigma2, TVec *StdErrs);
Burg AR estimation.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec * | Zero-mean time series. If this is not the case, subtract the mean from data. |
| 2 | Phi | TVec * | Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. |
| 3 | Sigma2 | double & | Returns Burg estimated variance for AR process. |
| 4 | StdErrs | TVec * | Returns estimated phi coefficients standard errors. |
Remarks:
Performs Burg estimation for pure (AR) model.
See Also: StatTimeSerAnalysis::ARYuleWalkerFit
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler