MATLAB: Function to find ar coefficients using Least squres

Hi,
Can someone help me write a FUNCTION to estimate AR(p) coefficients using LEAST SQUARES?
Thanks

Best Answer

Construct your measure matrix Fi,
yourcoeff=FI\y
Example
% y(n)=a1 y(n-1)+a2 y(n-2)+ a3 y(n-3)  your system
% if y=[1 2 3 4 5 6  7 8 9 10]
y= [4;5;6;7] % Using 4 samples     
FI=[3 2 1    % measure matrix    
  4 3 2            
  5 4 3            
  6 5 4]
% coeff=[a1;a2;a3]  coefficients to find
coeff=FI\y
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