ArDurbinEstimator¶
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class ArDurbinEstimator : public tsa::AlgoBase¶
Estimate the AR coefficients and the PARCOR of a time series using its correlation function.
Setters
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inline void SetArOrder(unsigned int P)¶
Operations
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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
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inline unsigned int GetArOrder()¶
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inline void SetArOrder(unsigned int P)¶