Yule-Walker AR (DSP Blockset)

Compute a parametric estimate of the spectrum using the Yule-Walker AR method.

Spectrum Analysis

The Yule-Walker AR block estimates the power spectral density (PSD) of the scalar input sequence using the Yule-Walker AR method. This method fits an autoregressive (AR) model to the autocorrelation sequence estimated from the signal. Since it represents the spectrum by an all-pole model, the correct choice of the model order, specified by the Order parameter, is important. The Yule-Walker AR and Burg Method blocks return similar results for large buffer lengths.

The block's output is the estimate of the signal's power spectral density at N equally spaced frequency points in the range [0,Fs), where N is the FFT Size and Fs is the signal's sample frequency. The number of samples used in each spectral estimate is determined by the Buffer size parameter. The Buffer overlap parameter specifies the number of samples from the previous buffer to include in the current buffer. Before the FFT is computed, the block adjusts the length of the buffer to the size specified by the FFT size parameter by appending zeros if the FFT size parameter is larger than the Buffer size, or by truncating if the FFT size parameter is smaller than the Buffer size. The Initial condition specifies the initial buffer that the block operates on.


	Real	Complex	Scalar	Vector	Matrix	Sample Time	Scalar Expansion
Input						discrete	n/a
Output						discrete	n/a

Dialog Box

References

Oppenheim, A. V. and R. W. Schafer. Discrete-Time Signal Processing. Englewood Cliffs, NJ: Prentice Hall, 1989.

Proakis, J. and D. Manolakis. Digital Signal Processing. 3rd ed. Englewood Cliffs, NJ: Prentice-Hall, 1996.