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Diffstat (limited to 'macros/yulewalker.sci')
| -rw-r--r-- | macros/yulewalker.sci | 10 |
1 files changed, 9 insertions, 1 deletions
diff --git a/macros/yulewalker.sci b/macros/yulewalker.sci index ebcb8aa..40fcadb 100644 --- a/macros/yulewalker.sci +++ b/macros/yulewalker.sci @@ -1,5 +1,13 @@ function [A,V]= yulewalker(C) - +// Fit an AR (p)-model with Yule-Walker estimates given a vector C of autocovariances '[gamma_0, ..., gamma_p]'. +//Calling Sequence +//A = yulewalker(C) +//[A,V]= yulewalker(C) +//Parameters +//C: Autocovariances +//Description +//Fit an AR (p)-model with Yule-Walker estimates given a vector C of autocovariances '[gamma_0, ..., gamma_p]'. +//Returns the AR coefficients, A, and the variance of white noise, V. funcprot(0); lhs=argn(1); rhs= argn(2); |