Copyright	(c) Matthew Donadio 2003
License	GPL
Maintainer	m.p.donadio@ieee.org
Stability	experimental
Portability	portable
Safe Haskell	Safe
Language	Haskell98

DSP.Estimation.Spectral.MA

Description

This module contains one algorithm for MA parameter estimation. It is taken from Steven M. Kay, _Modern Spectral Estimation: Theory and Application_, which is one of the standard texts on the subject. When possible, variable conventions are the same in the code as they are found in the text.

Synopsis

ma_durbin :: (Ix a, Integral a, RealFloat b) => Array a (Complex b) -> a -> a -> (Array a (Complex b), b)

Documentation

ma_durbin Source #

Arguments

:: (Ix a, Integral a, RealFloat b)
=> Array a (Complex b)	x
-> a	q
-> a	l
-> (Array a (Complex b), b)	(a,rho)

Computes an MA(q) model estimate from x using the Durbin's method where l is the order of the AR process used in the algorithm