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-1
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0answers
19 views

how to use particle filter based multidemension model?

The model is assumed to be known, ie. the parameters a1 , a2, a3 and a4 are known. vk-1 is process noise, ek is the measurement noise. zk is the measurement at time k, xk is the state variable. Then ...
0
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0answers
38 views

how to find the distance of the root from the origin?

Good Day, I have 9 polynomial roots. i have plotted the roots. my problems are: 1)how to find the distance of the roots from origin? I want to find the distance of all the roots from the origin. 2) ...
0
votes
1answer
32 views

How to plot the root of polynomial in Matlab?

I obtained this polynomial equations: $$A(z) = 1 - 0.7987 z^{-1} - 0.125 z^{-2} - 0.511 z^{-3} + 0.06889 z^{-4} + 0.3465 z^{-5} + 0.4809 z^{-6} + 0.04951 z^{-7} - 0.5298 z^{-8} + 0.1828 z^{-9}$$ How ...
0
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0answers
15 views

how do we know that the AR model equation obtained in s-domain or z-domain?

i have obtained AR(9) model equation from time domain analysis. but how do i know the equation obtained whether in s-domain or z-domain? because the analysis for s-domain and z-domain is different. i ...
0
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0answers
61 views

How to determine the order from Auto-Regressive model in Matlab?

I have time series vibration signal recorded for 10 seconds. I segmented the vibration signal into a number of frames. I need to use an Auto-regressive model for this signal. AR model is used to ...
0
votes
1answer
29 views

Forecasting with ARMA models, from a filter point of view

ARMA models are afaik just filters with transfer function $ {MA(z) \over AR(z)} \equiv {FIR(z) \over IIR(z)} $ . However forecasters of stock prices, market trends ... seem to be mainly ...
1
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0answers
20 views

Yule walker equation limited matrix size

Definitions For an ARMA model $$x_n=-\sum_{p=1}^P a_px_{n-p}+\sum_{q=0}^Qb_qw_{n-q}$$ where $w_n$ is zero mean stationary white noise with unit variance. It is straightforward to show that the ...
0
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0answers
31 views

how to caculate the 95% level of significance based on the lag-1 autocorrelation of power spectra?

I am wondering how to calculate the $90$ or $95$ % significance level of power spectra based on AR(1) Auto regressive. Thanks in advacne
0
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1answer
114 views

Issues in generating AR model with a constraint

I am new to the topic of system identification and looking for a large model of Autoregressive (AR). Can anybody point out a large stable AR model which has more than 2 coefficients AND there should ...
1
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0answers
49 views

ACF and PACF Confidence Levels for ARMA

I'm trying to figure out where exactly to draw the confidence levels for the autocorrleation function (ACF) and the partial autocorrelation function (PACF) for an ARMA model. For PACF I found that a ...
2
votes
1answer
192 views

Can someone show the details of how to apply AIC for sinusoidal models to specific data?

NOTE: This is a question that another user has been trying (unsuccessfully) to ask. Because the multiple questions asking, essentially, the same thing have either been deleted by me (because they ...
0
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0answers
713 views
0
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1answer
337 views

ARMA models for non stationary signals

let us suppose that we have non stationary signal,whose value is given by ...
0
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1answer
1k views

Convert normalized frequency to real frequency in AR model

Let us suppose that we have modeled signal using AR model, and suppose we have following model: I used spectral estimation function from MATLAB pyulear Now ...
0
votes
1answer
479 views

Power spectral density interpretation

After reading this question: PSD (Power spectral density) explanation I am still a little confused as to what extra information the PSD gives us over simply taking the magnitude of the fourier ...
1
vote
0answers
41 views

Is a Stationary VAR Process with Zero Mean Gaussian Innovations a Gaussian Stationary Process?

Consider the stationary VAR process $${\bf X}_t = \sum_{\tau = 1}^{L} A_\tau {\bf X}_{t-\tau} +{\bf \epsilon}_t$$ If the innovations $\epsilon_t \sim MVN({\bf 0},\Sigma)$ then is ${\bf X}_t$ a ...
1
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0answers
47 views

Fitting VAR Process with Generalised Gaussian Noise

Consider the $m$-dimensional VAR process $${\bf x}_t = \sum_{l=1}^{P} A_l{\bf x}_{t-l} + {\bf e}_t$$ where the componenets of ${\bf e}_t$ are spatially and temporally independent and follow a ...
2
votes
1answer
509 views

ARMA vs. AR and then what?

Sorry if this sounds elementary but I am struggling to grasp the physical idea behind ARMA (auto-regressive, moving average) process. The "AR" part is intuitive and so is "MA", but put together? If I ...
2
votes
1answer
78 views

Choosing inverse Z-transform equation, given that $|a|<1$

Given that $|a|<1$, then which of those inverse-Z-transform equations are we to use? I am leaning towards the first because (as I understand it), $z$ is merely a complex number that is ...
3
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2answers
1k views

What are Autoregressive Coefficients?

Can anyone explain what are Autoregressive Coefficients? What is their meaning that is. Consider a method: ...
5
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1answer
154 views

How to perform model fitting for system identification

I am having a really hard time in understanding how to formulate a model say linear AR model to represent a communication channel or maybe any motion. I have the experimental data representing the ...
2
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0answers
86 views

How to estimate an auto-regressive model?

Given a periodic impulse train and it's impulse response, how is an auto-regressive model of this system computed or estimated?
4
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2answers
1k views

Different state-space representations for Auto-Regression and Kalman filter

I see that there are different ways to write an AR model into a state-space representation, so that we can apply Kalman filter to estimate the signal. See Example 1, 2 and 3 here. I wonder what ...
5
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1answer
1k views

How to decide whether to use AR or MA for smoothing data?

Imagine I've got some offline data that I want to smooth. I could use an auto-regressive or moving-average filter of some appropriate order for conducting the smoothing. On which criteria should I ...
7
votes
1answer
300 views

Why does over-modelling an adaptive AR NLMS filter fix sharp spikes?

I just simulated an auto-regressive second-order model fueled by white noise and estimated the parameters with normalized least-mean-square filters of orders 1-4. As the first-order filter ...
7
votes
2answers
171 views

What input to use for an AR model of a vowel sound?

I've recorded a 2-sec pronunciation of a vowel sound. The first 0.12 or so seconds of the signal are shown below. Now, I've constructed an auto-regressive (AR) 8th-order model to compress this ...