# ivar

AR model estimation using instrumental variable method

## Description

estimates an AR polynomial model, `sys`

= ivar(`data`

,`na`

)`sys`

, using the instrumental variable
method and the time series data `data`

. `na`

specifies
the order of the *A* polynomial.

An AR model is represented by the equation:

$$A(q)y(t)=e(t)$$

In the above model, *e*(*t*) is an arbitrary process,
assumed to be a moving average process of order `nc`

, and possibly time
varying. The function assumes that `nc`

is equal to
`na`

. Instruments are chosen as appropriately filtered outputs, delayed
`nc`

steps.

## Examples

## Input Arguments

## Output Arguments

## References

[1] Stoica, P., T. Soderstrom, and B.
Friedlander. *Optimal Instrumental Variable Estimates of the AR Parameters of an
ARMA Process.* IEEE Transactions on Automatic Control 30, no. 11 (November 1985):
1066–74, https://doi.org/10.1109/TAC.1985.1103839.

## Version History

**Introduced before R2006a**