## Contents

## DESTMAR

Fits a multivariable autoregressive model to a time-series.

## Syntax

`[Af,Ab,Sf,Sb] = destmar(v,d)`

## Description

This function fits a multivariable autoregressive model to a time-series *v(k)*. The model-structure is

in which *ef(k)* and *eb(k)* are innovation sequences with covariance matrices *Sf* and *Sb* respectively. The fitting is performed according to [1].

## Inputs

`v` is the time-series, a *N* x *l* matrix for a signal having *N* samples and which is *l*-dimensional.

`d` is the desired order *d* of the AR model.

## Outputs

`Af,Ab` are the coefficient matrices `Af` and `Ab` of the causal and anticausal model.

`Sf,Sb` are the covariance matrices `Sf` and `Sb` of the causal and anticausal innovations.

## Algorithm

A direct Hankel-matrix based estimation of the AR model is performed according to [1].

## Used By

This is a top-level function that is used directly by the user.

## See Also

## References

[1] B. Davis, *Parameter Estimation in Nonlinear Dynamical Systems with Correlated Noise.* PhD thesis, Universite Catholique de Louvain-La-Neuve, Belgium, 2001.