# Questions tagged [autoregressive-model]

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### Frequency representation of relaxation processes

I simulated a discrete sample of a variable whose autocorrelation function (ACF) should theoretically be composed of a sum of exponential-like functions. My goal is to represent it in the frequency ...
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### Given an AR signal, find its PSD, its autocorrelation function

I am studying discrete-random signal processing, Could anyone tell me by an example or reference what it means by the following? Given an AR signal, find its PSD (power spectral density), its ...
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### How to compute the theoretical power spectrum of a first order autoregression (AR1) model

I'm trying to figure out how to compute the theoretical power spectrum of a first-order autoregression model (AR1). The AR1 model is given as $x_i = r_1 x_{i-1} + e_i$ where: $x_i$ is real-valued ...
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### Simplest way to generate AR(2) process on MATLAB

As part of a project I need to use autocorrelation method of estimating model paramters of an autoregressive process on MATLAB. Can anyone tell me the simplest way to generate an AR(2) process on ...
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### ARMA & MA methods: how do you know the error terms?

Reading the ARMA model for the first time, and I'm confused. Let's say I have a time series x = [1, 2.1, 2.9, 3, 4.1] According to the ARMA model, $X_t$ is a ...
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### Find filter coefficients to model a device using its measurement

I am trying to realize a digital filter that has the same freq. response of an existing speaker. I have fed an audio sine sweep to the speaker and measured the speaker output, both at 48kHz. Then I ...
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### Finding the auto-correlation sequence $r_{xx}[k]$ for an AR(2) process

Consider the following recursive difference equation of a LTI system, where $v[n]$ is a white noise, zero-mean process with $\sigma_v^2 = 1$. $x[n] = v[n] + 0.75x[n-1]-0.25x[n-2]$ I want to ...
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### Linear Predictive coding vs AR modeling

I'm looking for a suitable explanation of the circumstances in which the LPC error polynomial for a discrete time process x[n] is replaceable with an error polynomial categorized under the AR model? I ...
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### Difference Between Two Forms of Equations of Auto Regressive (AR) Model

I found equation 1 for Autoregressive model in various books and articles but I also found equation 2 for AR model, I understand the physical meaning of the equation but two different equations ...
606 views

How can I infer the coefficients for an AR(2) model given an autocorrelation plot? What I have tried so far: I can see this a cos-wave of 0.4 Hz, and then i find the values for each step $(1, 0.9211, ... 0 votes 2 answers 58 views ### Confusion regarding model order and lags I have similar questions as the one asked in these posts: https://stackoverflow.com/questions/47083890/fir-filter-length-is-the-intercept-included-as-a-coefficient-matlab/47085339?noredirect=1#... 0 votes 1 answer 3k views ### How to generate colored Gaussian noise and adding it to a ODE system - Do I need Euler-Maruyama method? In the tutorial, when white noise process is added to ordinary differential equations (ODE), the ODE becomes a stochastic process. Then the stochastic process needs to be solved using Euler Maruyama ... 0 votes 1 answer 174 views ### Autoregressive Exogenous model on multiple datasets in MATLAB I had trouble translating this exact question into search queries, which is why I am turning to you. Any sources you can provide on the topic would be greatly appreciated. Say your data contains ... 0 votes 1 answer 805 views ### Finding autocorrelation matrix of an autoregressive process AR(1) Having that$\ 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}}$, how ... 2 votes 1 answer 285 views ### Autoregressive modeling (linear prediction) of electrical transmission lines? I've read that the reflection coefficients in speech processing (as computed by the Levinson-Durbin algorithm for solving the Yule-Walker equations) "represent the fraction of energy reflected back" ... 0 votes 1 answer 2k views ### How to create an AR filter in Matlab My goal is to replicate the procedure described on pages 15-16 (1461-1462) in this paper, prior to adaptive mixture ICA (AMICA): Overlearning in Marginal Distribution-Based ICA: Analysis and Solutions ... 2 votes 1 answer 616 views ### autoregressive moving average code implementation I am new to DSP and i am trying to take a wav (human speech) file and apply ARMA filter and plot its PSD graph in python. I see that there are a lot of AR implementations but almost none ARMA. I ... -1 votes 2 answers 764 views ### Levinson Method i have just one question about Levinson, my question is: can we apply this method to determine the coefficients for FIR filter? if yes, please help me ! this is an example: ... 1 vote 0 answers 113 views ### derive AR model based on the autocorrelation of jakes model I am trying to derive the channel model based on the autocorrelation of Jakes model. In step 2, i am trying to get rid of$s(n+1)$by inserting it to$s(n-k)\$ in which the limit will change. However i ... 