ArDurbinEstimator

class ArDurbinEstimator : public tsa::AlgoBase

Estimate the AR coefficients and the PARCOR of a time series using its correlation function.

Setters

inline void SetArOrder(unsigned int P)

Operations

void execute(Dvector &AutoCorr, Dvector &ArParcor)

The excute method estimate the AR and PARCOR parameters with the Durbin rithm.

Parameters:

• AutoCorr – autocorrelation in Toeplitz form

• ArParcor – vector containing the Reflection coefficients

Pre:

The input of the algorithm must be the autocorrelation function in Toeplitz form

Getters

inline unsigned int GetArOrder()

Public Functions

ArDurbinEstimator(unsigned int ArOrder)

Constructor

Parameters:

ArOrder – order of the the AR model

~ArDurbinEstimator()

Destructor