User`s guide

Estimating AR and A RMA Models
Commands for Estimating P oly n omial Time-Serie s Models (Continued)
Method Name
Description
Supported Data
armax
Iterative p rediction-error method
to estimate linear, single-output
ARMAX models.
Time-domain, time-series i ddat a
data object.
arx
Noniterative, least-squares method
for estimating single-output and
multiple-output linear AR models.
Supports time- and frequency-domain
time-series
iddata data.
ivar
Noniterative, instrumental variable
method for estimating single-output
AR models.
Supports time-domain, time-series
iddata data.
The follo wing code shows usage examples for estimating AR models:
% For scalar signals
m = ar(y,na)
% For multiple-output vector signals
m = arx(y,na)
% Instrumental variable method
m = ivar(y,na)
% For ARMA, do not need t o specify nb and nk
th = armax(y,[na nc])
The ar command provides additional options to let you choose the alg orithm
for computing the least-squares from a group of several popular te chniques
from the following methods:
• Burg (geometric lattice)
• Yule-Walker
• Covariance
For more information about validating models, see “Overview of Model
Validation and Plots” on page 8-2.
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