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.