StatTimeSerAnalysis.ARBurgFit Method

procedure ARBurgFit(const Data: TVec; const Phi: TVec; out Sigma2: Double; const StdErrs: TVec);

Burg AR estimation.

#NameDescription
1DataZero-mean time series. If this is not the case, subtract the mean from data.
2PhiReturns estimates for Phi coefficients. AR(p) order is determined by Phi length.
3Sigma2Returns Burg estimated variance for AR process.
4StdErrsReturns estimated phi coefficients standard errors.

Result: stored in self (calling object)

Remarks:

Performs Burg estimation for pure (AR) model.

Examples
Uses MtxExpr, StatTimeSerAnalysis, Math387;
procedure Example;
var ts,phi,stdErr: Vector;
s2: double;
begin
    ts.LoadFromFile('timeser.vec');
    phi.Length := 3; // for AR(3) process
    ARBurgFit(ts,phi,s2,stdErr);
end;
See Also: StatTimeSerAnalysis.ARYuleWalkerFit