AutoCorrelation (Correlogram) and persistence – Time series analysis

The agenda for the subsequent series of articles is to introduce the idea of autocorrelation, AutoCorrelation Function (ACF), Partial AutoCorrelation Function (PACF) , using ACF and PACF in system identification. Introduction Given time series data (stock market data, sunspot numbers over a period of years, signal samples received over a communication channel etc.,), successive values … Read more

Yule Walker Estimation and simulation in Matlab

If a time series data is assumed to be following an Auto-Regressive (AR(N)) model of given form, the natural tendency is to estimate the model parameters a1,a2,…,aN. Least squares method can be applied here to estimate the model parameters but the computations become cumbersome as the order N increases. Fortunately, the AR model co-efficients can … Read more

Solving ARMA model – minimization of squared error

Linear-Time-Invariant-System-LTI-system-model

Key focus: Can a unique solution exists when solving ARMA (Auto Regressive Moving Average) model ? Apply minimization of squared error to find out. As discussed in the previous post, the ARMA model is a generalized model that is a mix of both AR and MA model. Given a signal x[n], AR model is easiest … Read more

Understand AR, MA and ARMA models

Key focus: AR, MA & ARMA models express the nature of transfer function of LTI system. Understand the basic idea behind those models & know their frequency responses. Introduction Signal models are used to analyze stationary univariate time series. The goal of signal modeling is to estimate the process from which the desired signal is … Read more