StatTimeSerAnalysis::ARBurgFit Function

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.

Examples

#include "MtxExpr.h"
#include "Units.StatTimeSerAnalysis.h"

using namespace Dew;
using namespace Dew::Math;
using namespace Dew::Stats;
using namespace Dew::Stats::Units::StatTimeSerAnalysis;

void Example()
{
    Vector ts(0);
    Vector phi(0);
    Vector stdErr(0);
    double s2;
    ts.LoadFromFile("dowjones.vec");
    phi.Length = 3; // for AR(3) process
    ARBurgFit(ts,phi,s2,stdErr);
}

See Also: StatTimeSerAnalysis::ARYuleWalkerFit

Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler

void ARBurgFit(TVec *Data, TVec *Phi, double &Sigma2, TVec *StdErrs);

void ARBurgFit(TVec Data, TVec Phi, double &Sigma2, TVec *StdErrs);