lattn

Scilab Function
Last update : April 1993

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
- `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

where {`Rk;k=1,nlag` } is the sequence of empirical covariances

### Author

G. Le V.