converts reflection coefficients into autoregressive parameters
uses the Durbin-Levinson recursion for multiple channels
function [AR,RC,PE,ACF] = rc2ar(RC);
function [MX,PE] = rc2ar(RC);
INPUT:
RC reflection coefficients
OUTPUT
AR autoregressive model parameter
RC reflection coefficients (= -PARCOR coefficients)
PE remaining error variance (relative to PE(1)=1)
MX transformation matrix between ARP and RC (Attention: needs O(p^2) memory)
arp=MX(:,K*(K-1)/2+(1:K));
rc =MX(:,(1:K).*(2:K+1)/2);
All input and output parameters are organized in rows, one row
corresponds to the parameters of one channel
see also ACOVF ACORF DURLEV AR2RC
REFERENCES:
P.J. Brockwell and R. A. Davis "Time Series: Theory and Methods", 2nd ed. Springer, 1991.
S. Haykin "Adaptive Filter Theory" 3rd ed. Prentice Hall, 1996.
M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981.
W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
Package: tsa