Calculate initial estimates for AR(3) process by using Yule-Walker algorithm.
Uses MtxExpr, StatTimeSerAnalysis, Math387; procedure Example; var ts,phi: Vector; s2: double; begin ts.LoadFromFile('timeser.vec'); phi.Length := 3; // for AR(3) process ARYuleWalkerFit(ts,phi,s2); end;
#include "MtxExpr.hpp" #include "Math387.hpp" #include "StatTimeSerAnalysis.hpp" void __fastcall Example(); { sVector ts,phi; double s2; // ts.LoadFromFile("timeser.vec"); ts.size(100); ts.RandGauss(); phi.Length = 3; // for AR(3) process ARYuleWalkerFit(ts,phi,s2,NULL); }
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