StatTimeSerAnalysis.ARBurgFit Function

Burg AR estimation.

Pascal

procedure ARBurgFit(const Data: TVec; const Phi: TVec; out Sigma2: double; const StdErrs: TVec);

File

StatTimeSerAnalysis

Parameters

Parameters	Description
Data	Zero-mean time series. If this is not the case, subtract the mean from data.
Phi	Returns estimates for Phi coefficients. AR(p) order is determined by Phi length.
Sigma2	Returns Burg estimated variance for AR process.
StdErrs	Returns estimated phi coefficients standard errors.

Description

Performs Burg estimation for pure (AR) model.

See Also

ARYuleWalkerFit

Example

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);
}

StatTimeSerAnalysis, Functions, Example, See Also

What do you think about this topic? Send feedback!