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StatTimeSerAnalysis.ARBurgFit Method
StatTimeSerAnalysis Class  StatTimeSerAnalysis Members  Dew.Stats.Units Namespace  StatTimeSerAnalysis Methods  Example  See Also
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Burg AR estimation.

Syntax
C#
Visual Basic
public static void ARBurgFit([In] TVec Data, [In] TVec Phi, out double Sigma2, [In] TVec StdErrs);
Parameters
Parameters 
Description 
[In] TVec Data 
Zero-mean time series. If this is not the case, subtract the mean from data. 
[In] TVec Phi 
Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. 
out double Sigma2 
Returns Burg estimated variance for AR process. 
[In] TVec StdErrs 
Returns estimated phi coefficients standard errors. 
Remarks

Performs Burg estimation for pure (AR) model.

See Also
Example

Calculate initial estimates for AR(3) process by using Burg's algorithm.

using Dew.Math; using Dew.Stats; using Dew.Stats.Units; namespace Dew.Examples { private void Example() { Vector ts = new Vector(0); Vector phi = new Vector(0); Vector stdErr = new Vector(0); double s2; ts.LoadFromFile("timeser.vec"); phi.Length = 3; // for AR(3) process StatTimeSerAnalysis.ARBurgFit(ts,phi,out s2,stdErr); } }
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