Identification of MA part of a vector ARMA process
[la,lb]=lattp(n,p,cov)
maximum order of the filter
fixed dimension of the MA part. If p= -1
, the algorithm reduces to the classical Levinson recursions.
matrix containing the Rk
's (d*d
matrices for a d-dimensional process).It must be given the following way
list-type variable, giving the successively calculated polynomials (degree 1 to degree p),with coefficients Ak
This function identifies the MA part of a vector ARMA(n,p) process.