Questions tagged [autoregressive-model]

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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 ...
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112 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?
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48 views

Zero-padding vs. nonzero-padding in computation of auto-correlation with FFT

Isn't the usual zero-padding in the computation of the auto-correlation function with FFT just one of many possible extrapolations of the original signal? If I have a measured signal which has good ...
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301 views

Linear Predictive Coding example in MATLAB

I have some data that is highly correlated and I wanted to see if I could try and encode it using linear predictive coding (LPC). Here is how I've been understanding the process: Encoding Generate ...
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59 views

Understanding linear predictive coding in MATLAB

I want to test my understanding of linear prediction by running it on some test data in MATLAB. The way I understand it is if I have some data that is correlated, I can encode the signal with linear ...
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1answer
297 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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66 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 ...
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150 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)?
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0answers
38 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 ...
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254 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 ...
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65 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 ...
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62 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 ...
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22 views

Autocorrelation of an AR model

When I plot the autocorrelation function of an autoregressive signal, I get this instead of a damping sinusoid. I am having trouble understanding why this is happening. My signal is an generated ...
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49 views

How to find Coefficients of Autoregressive (AR) model using least means square (LMS) Algorithm without having future signal?

I want to do two things. Estimating Coefficients of AR model using LMS Using Coefficients found in step 1 and predict future samples of a signal using AR equation. I don't have a desired signal so I ...
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34 views

What is prewhitening filter mode?

In this paper, the following prewhitening filter is described: $$ C(z) = \sum_{k=0}^n c_{k}z^{-k} $$ where $n$ and $c_k$ are known. The paper also describes the values $C(\lambda_{k})$, with $\...
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7 views

After fitting auto ARIMA's order, in prediction I'm getting bad result

For sunspot dataset. Below is the ARIMA code. Auto ARIMA finds the best ARMA(2,1,2)(2,0,1) model. But when I plot the prediction seems wrong: ...
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55 views

Finding time-varying coefficients for a VAR model by using the Kalman Filter

I'm posting this again, since after my last post i've been able to advance the code quite alot. I'm still trying to write some code in R to reproduce the model i found in this article. The idea is to ...
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1answer
652 views

Determining the autocorrelation sequence from an AR model

I have the following equation: $$x(n)=\frac{14}{24}x(n-1)+\frac{9}{24}x(n-2)-\frac{1}{24}x(n-3)+w(n)$$ where, $w(n)$ is a stationary white noise process with variance $\sigma^2_w$ Now, I want to ...
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116 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) ...
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268 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 ...
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1answer
232 views

Issues in generating AR model with a constraint

I am new to the topic of system identification and looking for a large Autoregressive (AR) model. Can anybody point out a large stable AR model which has more than 2 coefficients AND there should be a ...
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3k views

How is `aicbic` or other matlab function used to find the AR order of specific data?

let us consider following matlab code ...
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13 views

how to calculate rmse and mse using codes in matlab?

i am new to matlab. for predicting energy data in ann tool, im little bit confused about calculating rmse and mse in matlab. i had tried many codes for calculating rmse but errors are arriving. can ...