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StatTimeSerAnalysis.ARYuleWalkerFit Function
StatTimeSerAnalysis | Functions | Example | See Also

Yule-Walker AR estimation.

Pascal
procedure ARYuleWalkerFit(const Data: TVec; const Phi: TVec; out Sigma2: double; const StdErrs: TVec = nil);
File
Parameters
Parameters 
Description 
Data 
Time series. 
Phi 
Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. 
Sigma2 
Returns estimate for Sigma^2 i.e. (AR) model variance. 
StdErrs 
If not nil, it returns estimated phi coefficients standard errors. 
Description

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

See Also
Example

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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