System Identification Toolbox | ![]() ![]() |
Estimate the parameters of an AR model using an approximately optimal choice of instrumental variable procedure.
Syntax
Description
The parameters of an AR model structure
are estimated using the instrumental variable method. y
is the signal to be modeled, entered as an iddata
object (outputs only). na
is the order of the A polynomial (the number of A parameters). The resulting estimate is returned as an idpoly
model m
. The routine is for scalar signals only.
In the above model, is an arbitrary process, assumed to be a moving average process of order
nc
, possibly time varying. (Default is nc = na
.) Instruments are chosen as appropriately filtered outputs, delayed nc
steps.
The optional argument maxsize
is explained under Algorithm Properties
.
Examples
Compare spectra for sinusoids in noise, estimated by the IV method and estimated by the forward-backward least-squares method.
y = iddata(sin([1:500]'*1.2) + sin([1:500]'*1.5) + 0.2*randn(500,1),[]); miv = ivar(y,4); mls = ar(y,4); bode(miv,mls)
See Also
References
Stoica, P. et al., Optimal Instrumental variable estimates of the AR-parameters of an ARMA process, IEEE Trans. Autom. Control, Vol AC-30, 1985, pp. 1066-1074.
![]() | init | ivstruc | ![]() |