lattn(1)

NAME
lattn - recursive solution of normal equations

CALLING SEQUENCE
[la,lb]=lattn(n,p,cov)

PARAMETERS

n   : maximum order of the filter

p   : fixed dimension of the MA part. If p= -1, the algorithm reduces to the classical Levinson recursions.

cov : matrix containing the Rk's (d*d matrices for a d-dimensional process).It must be given the following way
                           |  R0 |
                           |  R1 |
                       cov=|  R2 |
                           |  .  |
                           |  .  |
                           |Rnlag|

la  : list-type variable, giving the successively calculated polynomials (degree 1 to degree n),with coefficients Ak

DESCRIPTION
solves recursively on n (p being fixed) the following system (normal equations), i.e. identifies the AR part (poles) of a vector ARMA(n,p) process
                       |Rp+1 Rp+2 . . . . . Rp+n  |
                       |Rp   Rp+1 . . . . . Rp+n-1|
                       | .   Rp   . . . . .  .    |
                       |                          |
   |I -A1 -A2 . . .-An|| .    .   . . . . .  .    |=0
                       | .    .   . . . . .  .    |
                       | .    .   . . . . .  .    |
                       | .    .   . . . . . Rp+1  |
                       |Rp+1-n.   . . . . . Rp    |
where {Rk;k=1,nlag} is the sequence of empirical covariances

AUTHOR
G. Le V.