DSP.Estimation.Spectral.MA

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.

Documentation

ma_durbin

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