Auto-Regressive And Moving Average Filtering

Subchapters

Auto-Regressive And Moving Average Filtering

Syntax	`filter(a, b, x, s)`
See Also	mlmode_filter , conv , polmul , kalman , arcov

Description
Filters the input sequence x using both the auto-regressive coefficients, a, and moving average coefficients b. If x is white noise, the return value is the ARMA process corresponding to a and b. The arguments a, b, x, and s can be either integer, real, double-precision or complex. The arguments must all be column vectors but do not have to be the same type. The return value has the type that results from coercion between the arguments types. Let na, nb, nx and ns, be the lengths of a, b, x, and s respectively. The value ns must satisfy the conditions ns > na - 1, ns > nb - 1, and ns < nx. The return vector y has length nx, and





     if i < ns,  y  =  s

                  i     i



     if i > ns,  y  =  b  x  +  b  x    + . . . + b  x

                  i     1  i     2  i-1            nb i-nb+1

                             -  a  y    - . . . - a  y

                                 2  i-1            na i-na+1

Note that the first element of a is not used.

Example
If you enter




     x = {1, 2, 3}

     a = {1, -1}

     b = {1, 1}

     s = 0

     filter(a, b, x, s)

O-Matrix will respond

Note that



     y  =  s            =  0

      1     1

     y  =  x  + x  + y  =  3

      2     2    1    1

     y  =  x  + x  + y  =  8

      3     3    2    2

(Also note that the first element of a was not used.)