System Identification Toolbox    

AR Models

For a single output signal the counterpart of the ARX model is the AR model.

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The arx command also covers this special case

but for scalar signals more options are offered by the command

which has an option that allows you to choose the algorithm from a group of several popular techniques for computing the least squares AR model. Among these are Burg's method, a geometric lattice method, the Yule-Walker approach, and a modified covariance method. (See Function Reference for details.) The counterpart of the iv4 command is

which uses an instrumental variable technique to compute the AR part of a time series.


  ARX Models General Polynomial Black-Box Models