MATLAB: Optimization algorithms or any algorithms

optimization algorithms

Dear ALL
Hopefully you are keeping fine..
I need your help.
I want to generate a normal random sequence with mu=0 and sigma=1, and pass these sequence by filter as following:-
X=randn(1,100000); % generate normal random sequence.
A=[a1 a2 a3]; % the coefficients of the filter.
Y= filter(1,A,X);  %The sequence after passed on the filter.
NOW, I have my Data set called C, which is correlated normal random sequence.
SO, I need to adjust the coefficients of the filter ( A ) to give me the best value of y when RC=RY.
RC=xcorr(C,100); % the correlation coefficient of my data set C;
RY=xcorr(Y,100); % the desired correlation coefficient of Y;
*Could please to help me how can I find the best value of A which make RY is near to RC value, by any optimization algorithm. * Thanks in advance
RAYYAN

Best Answer

You can solve for A algebraically using the Yule Walker equations
http://en.wikipedia.org/wiki/Autoregressive_model#Yule-Walker_equations
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