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StatTimeSerAnalysis.DurbinLevinson Function
StatTimeSerAnalysis | Functions | See Also

The Durbin-Levinson algorithm.

Pascal
procedure DurbinLevinson(const gamma: TVec; const Phi: TVec; out Sigma2: double; const NumEvals: Integer; const PhiVar: TVec = nil);
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Parameters
Parameters 
Description 
gamma 
Defines covariances for Durbin-Levinson algorithm. 
Phi 
Returns phi[n,1]...phi[n,n] coefficients. 
Sigma2 
Returns estimated variance. 
NumEvals 
Defines number of iterations of the Durbin-Levinson algorithm. 
PhiVar 
If not nil, it returns phi coefficients variances. 
Description

Uses the Durbin-Levinson algorithm to calculate phi[n,1]...phi[n,n] coefficients. Coefficients are calculated resursively from the following relations: 

 

where phi(1,1) = gamma(1)/gamma(0) and v(0)=gamma(0).

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