Estimates the autoregressive (AR) model of a univariate or multivariate (vector) time series according to the method you specify. Wire data to the Xt input to determine the polymorphic instance to use or manually select the instance.


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Inputs/Outputs

  • c1ddbl.png Xt —

    Xt specifies the univariate time series.

  • cu16.png AR method —

    AR method specifies the method this VI uses to estimate the autoregressive (AR) model.

  • ci32.png AR order —

    AR order specifies the order of the autoregressive (AR) model. The value of AR order must be greater than 0. The default is 4.

  • cerrcodeclst.png error in (no error) —

    error in describes error conditions that occur before this node runs. This input provides standard error in functionality.

  • i1ddbl.png AR coefficients —

    AR coefficients returns the estimated coefficients of the autoregressive model.

  • i1ddbl.png noise —

    noise returns the disturbance e(t) in the estimated system model.

  • ierrcodeclst.png error out —

    error out contains error information. This output provides standard error out functionality.

    • TSA AR Modeling Details

    This VI estimates the AR model according to the following equation:

    Xt + a1Xt-1 + ,…, + anXt-n = et

    where n is the AR order. Xt is a univariate or multivariate (vector) time series. et is a Gaussian white noise series with a mean of zero.

    For univariate time series, AR coefficients is a 1D array of [1, a1, a2,…, an], where each coefficient ai is a real number.

    For multivariate time series, AR coefficients is a 1D array of [I, a1, a2,…, an], where each coefficient ai is a cluster of 2D arrays.

    The minimum length requirement for the input time series needs to be at least two times the AR order.

    Examples

    Refer to the following VIs for examples of using the TSA AR Modeling VI:

    • Power Line Monitor VI: labview\examples\Time Series Analysis\TSAApplications
    • Fault Detection with Pattern Recognition VI: labview\examples\Time Series Analysis\TSAApplications
    • AR Model Estimation VI: labview\examples\Time Series Analysis\TSAGettingStarted