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SignalUtils.ArMCovariance Function
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Modified covariance method for autoregressive parameter estimation.

Pascal
procedure ArMCovariance(const Src: TVec; Order: integer; const A: TVec; out E: double); overload;
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Description

The AR parameters are estimated by minimizing the average of the estimated forward and backward prediction error powers. Src contains the data on which the autoregressive parameter estimation (placed in A) should be based. Order defines the Order of the autoregressive process. E is the prediction error. 

References:  

[1] Modern spectral estimation, Steven M. Kay, Prentice-Hall, Page 225

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