Home > freetb4matlab > tsa > rc2ar.m

rc2ar

PURPOSE ^

converts reflection coefficients into autoregressive parameters

SYNOPSIS ^

function [MX,res,arg3,acf] = rc2ar(rc);

DESCRIPTION ^

 converts reflection coefficients into autoregressive parameters
 uses the Durbin-Levinson recursion for multiple channels
 function  [AR,RC,PE,ACF] = rc2ar(RC);
 function  [MX,PE] = rc2ar(RC);

  INPUT:
 RC    reflection coefficients

  OUTPUT
 AR    autoregressive model parameter    
 RC    reflection coefficients (= -PARCOR coefficients)
 PE    remaining error variance (relative to PE(1)=1)
 MX    transformation matrix between ARP and RC (Attention: needs O(p^2) memory)
        arp=MX(:,K*(K-1)/2+(1:K));
        rc =MX(:,(1:K).*(2:K+1)/2);

 All input and output parameters are organized in rows, one row 
 corresponds to the parameters of one channel

 see also ACOVF ACORF DURLEV AR2RC

 REFERENCES:
  P.J. Brockwell and R. A. Davis 'Time Series: Theory and Methods', 2nd ed. Springer, 1991.
  S. Haykin 'Adaptive Filter Theory' 3rd ed. Prentice Hall, 1996.
  M.B. Priestley 'Spectral Analysis and Time Series' Academic Press, 1981.
  W.S. Wei 'Time Series Analysis' Addison Wesley, 1990.

CROSS-REFERENCE INFORMATION ^

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