This implements a modified yule-walker method for estimating the coefficients of an IIR filter that best matches an arbitrary frequency response. This is a port from sci-lab's version here: yulewalk.sci and is distributed by the same license (CeCILLv2.0).
$ pip install yulewalker
$ git clone https://github.com/mmxgn/yulewalker.git
$ cd yulewalker
$ python setup.py install
Using doctest
:
$ python -m yulewalker.yulewalker -v
Using pytest
:
$ pytest
See Example.ipynb
If you are using this code in your research please cite the original paper here:
Friedlander, Benjamin, and Boaz Porat. "The modified Yule-Walker method of ARMA spectral stimation." IEEE Transactions on Aerospace and Electronic Systems 2 (1984): 158-173.
See LICENSE
Thanks to Nonomo for backing this library.