SignalUtils.ArBurg Function

Modified covariance method for autoregressive parameter estimation.

Pascal

procedure ArBurg(const Src: TVec; Order: integer; const A: TVec; const K: TVec; out E: double); overload;

File

SignalUtils

Description

The AR parameter estimation is based on forward and backward prediction errors, and on direct estimation of of the reflection coefficients. Src contains the data on which the autoregressive parameter estimation (placed in A) should be based. Order defines the Order of the autoregressive process and K are the reflection coefficients. E is the prediction error.

References:

[1] Introduction To Spectral Analysis, Petre Stoica and Randolph Moses, Prentice-Hall, 1997, Page 120.