The tag has no usage guidance.

learn more… | top users | synonyms

0
votes
0answers
11 views

Autoregressive Model for EEG frequency analysis?

I want to do EEG frequency analysis in matlab using autoregressive models (e.g. Burg's method). How do I do this correctly? I just treated each channel individually (loop over channels), so I go ...
0
votes
0answers
19 views

Excite AR-Model with white noise to reconstruct a signal

The following Matlab code creates an AR process and then calls aryule to find the AR Model. Now, as far as I've read, you can excite this model with white noise and ...
1
vote
1answer
29 views

How can I reconstruct a Time series using it AR coefficients in MATLAB?

I have estimated AR coefficients of a time series using "aryule" function in MATLAB. Now I want to obtain the error of the estimated model. I think at first I must reconstruct it. so How can I ...
4
votes
1answer
46 views

Linear Prediction of AR Process

A discrete signal x is generated by the recursive process $$ x_n = x_{n-1} - 0.2 x_{n-2} + w_n $$ where $w_n$ is white noise with zero mean and unit variance. What is the optimum order of a linear ...
2
votes
1answer
80 views

Filtering a signal using Autoregressive (AR) filter and finding the coeff of AR filter using Yule Walker equation in MATLAB

I have a random signal x of 1000 samples and I've to generate y1 by filtering x using an ...
1
vote
0answers
15 views

LPC analysis without implicit windowing

In MATLAB, the documentation for the LPC function states: lpc uses the autocorrelation method of autoregressive (AR) modeling to find the filter coefficients. ...
1
vote
0answers
22 views

What is a “Unit Shock” in an Impulse Response Function?

Is a "one unit shock" in an impulse function of variable "temperature" a 1% increase or 1 more "unit" (1 degree)?
0
votes
1answer
35 views

AR model order selection for half second EEG fragments

I am using MATLAB to evaluate power spectral density estimates of half second EEG signals, using modified covariance method. Can anyone suggest me how to select the AR model order for this process? Is ...
0
votes
0answers
33 views

Comparing AR coefficients derived from different sampling rates

I'm interested in comparing the coefficients of AR processes computed from different dynamic texture videos. That is, $A_1$ and $A_2$ are the $d \times d$ coefficients for dynamic texture videos 1 and ...
2
votes
0answers
48 views

How to evaluate performance of an ARMA, MA or AR model?

How to evaluate performance of a model after estimating ARMA/MA/AR parameters for any process x(n)? How to regenerate back a process after estimating average parameters? what kind of performance ...
0
votes
0answers
44 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
46 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
votes
0answers
21 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
votes
0answers
99 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
41 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
vote
0answers
25 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
votes
1answer
131 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
vote
0answers
59 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
265 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
votes
0answers
1k views
0
votes
1answer
405 views

ARMA models for non stationary signals

let us suppose that we have non stationary signal,whose value is given by ...
0
votes
1answer
2k 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
646 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
vote
0answers
50 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
944 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
81 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 ...
4
votes
2answers
2k views

What are Autoregressive Coefficients?

Can anyone explain what are Autoregressive Coefficients? What is their meaning that is. Consider a method: ...
5
votes
1answer
179 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
votes
0answers
90 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
votes
2answers
2k 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
votes
1answer
2k 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
315 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
189 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 ...