Then,

The first values of will be accurate approximations to the true ACF. In MATLAB:

A=fft([a(:); zeros(2*L-P-1,1)]); B=fft([b(:); zeros(2*L-Q-1,1)]); A2=msq(A); B2=msq(B); h = B2./A2; rho = sig2 * h; r = real(ifft(rho));One only needs to increase until the condition is met that the ACF dies to zero before . See figure 9.2.

Baggenstoss 2017-05-19