void ARYuleWalkerFit(TVec *Data, TVec *Phi, double &Sigma2, TVec *StdErrs = null);
Yule-Walker AR estimation.
| # | Name | Type | Description |
|---|---|---|---|
| 1 | Data | TVec * | Time series. |
| 2 | Phi | TVec * | Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. |
| 3 | Sigma2 | double & | Returns estimate for Sigma^2 i.e. (AR) model variance. |
| 4 | StdErrs = null | TVec * | If not nil, it returns estimated phi coefficients standard errors. |
Remarks:
Performs Yule-Walker estimation for pure (AR) model.
Examples
#include "MtxExpr.h"
#include "Units.StatTimeSerAnalysis.h"
using namespace Dew;
using namespace Dew::Math;
using namespace Dew::Stats;
using namespace Dew::Stats::Units::StatTimeSerAnalysis;
void Example()
{
Vector ts(0);
Vector phi(0);
double s2;
ts.LoadFromFile("dowjones.vec");
phi.Length = 3; // for AR(3) process
ARYuleWalkerFit(ts,phi,s2,nullptr);
}See Also: StatTimeSerAnalysis::ARBurgFit
Declared in Dew::Stats::Units::StatTimeSerAnalysis · Dew.Stats/Units.StatTimeSerAnalysis.h · Cross-compiler