# Questions tagged [autoregressive-model]

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### Deterministic process, what is it ? how can i get a better intuition for it?

so I was following this code where the author cleans the data for a time series problem. He does some feature engineering , all is well and good until he does this ...
25 views

### Particle Filter estimation: sinusoidal signal

I am designing a particle filter for the extraction of a sinusoidal wave with known frequency and sampling frequency from Gaussian noised biased measurements ($y=x+\text{bias}+\text{Noise}$) My state ...
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### How to determine the area for the coefficients of an AR model to be asymptotically stable?

I am pretty new to this topic, and I am a little confused about the definition of asymptotically stable. If I have an AR model as follows $$y(t)=a_1y(t-1)+a_2y(t-2)+e(t)$$ How to define the area in ...
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### Confusion regarding model order and lags

I have similar questions as the one asked in these posts: https://stackoverflow.com/questions/47083890/fir-filter-length-is-the-intercept-included-as-a-coefficient-matlab/47085339?noredirect=1#...
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### How to generate colored Gaussian noise and adding it to a ODE system - Do I need Euler-Maruyama method?

In the tutorial, when white noise process is added to ordinary differential equations (ODE), the ODE becomes a stochastic process. Then the stochastic process needs to be solved using Euler Maruyama ...
• 591
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### Autoregressive Exogenous model on multiple datasets in MATLAB

I had trouble translating this exact question into search queries, which is why I am turning to you. Any sources you can provide on the topic would be greatly appreciated. Say your data contains ...
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### Finding autocorrelation matrix of an autoregressive process AR(1)

Having that $\ v(n) = [x(n),x(n-1),x(n-2))]^T$, and being $\ x(n)$ an autoregressive process AR(1) with known variance $\ \sigma_v^2$ and transfer function $\ H(z) ={ 1 \over {1-0.7z^-1}}$, how ...
276 views

### Autoregressive modeling (linear prediction) of electrical transmission lines?

I've read that the reflection coefficients in speech processing (as computed by the Levinson-Durbin algorithm for solving the Yule-Walker equations) "represent the fraction of energy reflected back" ...
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### How to create an AR filter in Matlab

My goal is to replicate the procedure described on pages 15-16 (1461-1462) in this paper, prior to adaptive mixture ICA (AMICA): Overlearning in Marginal Distribution-Based ICA: Analysis and Solutions ... 601 views

### autoregressive moving average code implementation

I am new to DSP and i am trying to take a wav (human speech) file and apply ARMA filter and plot its PSD graph in python. I see that there are a lot of AR implementations but almost none ARMA. I ...
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### Levinson Method

i have just one question about Levinson, my question is: can we apply this method to determine the coefficients for FIR filter? if yes, please help me ! this is an example: ...
1 vote
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### derive AR model based on the autocorrelation of jakes model

I am trying to derive the channel model based on the autocorrelation of Jakes model. In step 2, i am trying to get rid of $s(n+1)$ by inserting it to $s(n-k)$ in which the limit will change. However i ...
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### Predicting account balance based on historical data

Given the values of a bank account balance over time (see figure below as an example), how can one predict the account balance at a given date in the future ? Should I just fit one linear regression ...
• 169 I am having trouble understanding the relationship between a frequency function and it's Inverse Fourier transform. The Frequency function is \frac{1+0.8(e^{-j 2\pi f}+e^{j 2\pi f})+0.64}{1+1.4\...