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FOSSEE Signal Processing Toolbox >> FOSSEE Signal Processing Toolbox > yulewalker

yulewalker

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.


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