Portability | portable |
---|---|

Stability | experimental |

Maintainer | m.p.donadio@ieee.org |

Safe Haskell | Safe-Inferred |

This module contains a few algorithms for AR parameter estimation. Algorithms are taken from Steven M. Kay, /Modern Spectral Estimation: Theory and Application/, which is one of the standard texts on the subject. When possible, variable conventions are the same in the code as they are found in the text.

- ar_yw :: (Ix a, Integral a, RealFloat b) => Array a (Complex b) -> a -> (Array a (Complex b), b)
- ar_cov :: (Ix a, Integral a, RealFloat b) => Array a (Complex b) -> a -> (Array a (Complex b), b)
- ar_mcov :: (Ix a, Integral a, RealFloat b) => Array a (Complex b) -> a -> (Array a (Complex b), b)
- ar_burg :: (Ix a, Integral a, RealFloat b) => Array a (Complex b) -> a -> (Array a (Complex b), b)

# Functions

Computes an AR(p) model estimate from x using the Yule-Walker method

Computes an AR(p) model estimate from x using the covariance method

Computes an AR(p) model estimate from x using the modified covariance method