AR_MODEL compute AR-models parameters of input signal using Yule-Walker method.
Updated 9 Aug 2013

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LAMBDA = AR_MODEL(Y, N) estimates an N:th order autoregressive polynomial model (AR) for time series Y:

y(t) + l_1 * y(t-1) + l_2 * y(t-2) + ... +l_N * y(t-N) = e(t)


Y: The time series to be modeled, a column vector of values. The data must be uniformly sampled.

N: The order of the AR model (positive integer)


LAMBDA: AR model delivered as an array where are [1 l_1 l_2 l_3 ... l_N].
The model is estimated using "Yule-Walker" approach with no windowing.

Cite As

Giacomo Alessandroni (2024). ar_model (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
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Version Published Release Notes

Changed the output (added 1 as first element of vector for best use).
Replace inv(A)*b with A\b for speed.