DSP.Estimation.Spectral.AR

Portability	portable
Stability	experimental
Maintainer	m.p.donadio@ieee.org

Contents

Functions

Description

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.

Synopsis

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

ar_yw

Source

:: (Ix a, Integral a, RealFloat b)
=> Array a (Complex b)	x
-> a	p
-> (Array a (Complex b), b)	(a,rho)
Computes an AR(p) model estimate from x using the Yule-Walker method

ar_cov

Source

:: (Ix a, Integral a, RealFloat b)
=> Array a (Complex b)	x
-> a	p
-> (Array a (Complex b), b)	(a,rho)
Computes an AR(p) model estimate from x using the covariance method

ar_mcov

Source

:: (Ix a, Integral a, RealFloat b)
=> Array a (Complex b)	x
-> a	p
-> (Array a (Complex b), b)	(a,rho)
Computes an AR(p) model estimate from x using the modified covariance method

ar_burg

Source

:: (Ix a, Integral a, RealFloat b)
=> Array a (Complex b)	x
-> a	p
-> (Array a (Complex b), b)	(a,rho)
Computes an AR(p) model estimate from x using the Burg' method

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