compops / eqm-ar

Inference in Gaussian models with missing data using Equalisation Maximisation

eqm-ar

Equalisation Maximisation (EqM) and Expectation Maximisation (EM) for AR(p) processes

This code was downloaded from < https://github.com/compops/eqm-ar/ > and contains the code used to produce the results in the poster presentation

J. Dahlin, F. Lindsten and T. B. Schön, Parameter inference in AR processes with missing data. ERNSI Workshop, Maastricht, NL, 2012.

which is available as from < http://arxiv.org/pdf/1308.4601 >.

Included files

RUNME The code reproduces the comparision presented in the right column in the result section of the poster.

Helpfiles and subroutines are found in the folder helpers:

• ARemsub: EM algorithm for AR(p) process with missing data
• AReqmsub: EqM algorithm for AR(p) process with missing data
• ARstdsub: LS for AR(p) process with missing data
• runARmodel: Generates data from random AR(p) systems with missing observations
• BuildPhi: Constructs the Hankel matrix of past inputs and outputs.