Calculate initial estimates for AR(3) process by using Burg's algorithm.
Uses MtxExpr, StatTimeSerAnalysis, Math387; procedure Example; var ts,phi,stdErr: Vector; s2: double; begin ts.LoadFromFile('timeser.vec'); phi.Length := 3; // for AR(3) process ARBurgFit(ts,phi,s2,stdErr); end;
#include "MtxExpr.hpp" #include "Math387.hpp" #include "StatTimeSerAnalysis.hpp" void __fastcall Example(); { sVector ts,phi, stdErr; // ts.LoadFromFile("timeser.vec"); ts.Size(100); ts.RandGauss(); phi.Length = 3; // AR(3) process double s2; ARBurgFit(ts,phi,s2,stdErr); }
Copyright (c) 1999-2025 by Dew Research. All rights reserved.
|