StatTimeSerAnalysis.ARYuleWalkerFit Method

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

Yule-Walker AR estimation.

#NameDescription
1DataTime series.
2PhiReturns estimates for Phi coefficients. AR(p) order is determined by Phi length.
3Sigma2Returns estimate for Sigma^2 i.e. (AR) model variance.
4StdErrsIf not nil, it returns estimated phi coefficients standard errors.

Result: stored in self (calling object)

Remarks:

Performs Yule-Walker estimation for pure (AR) model.

Examples
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;
See Also: StatTimeSerAnalysis.ARBurgFit