You are here: Symbol Reference > Dew Namespace > Dew.Stats Namespace > Dew.Stats.Units Namespace > Classes > StatTimeSerAnalysis Class > StatTimeSerAnalysis Methods > StatTimeSerAnalysis.ARYuleWalkerFit Method
Dew Stats for .NET
ContentsIndexHome
PreviousUpNext
StatTimeSerAnalysis.ARYuleWalkerFit Method
StatTimeSerAnalysis Class  StatTimeSerAnalysis Members  Dew.Stats.Units Namespace  StatTimeSerAnalysis Methods  Example  See Also
Collapse All

Yule-Walker AR estimation.

Syntax
C#
Visual Basic
public static void ARYuleWalkerFit([In] TVec Data, [In] TVec Phi, out double Sigma2, [In] TVec StdErrs);
Parameters
Parameters 
Description 
[In] TVec Data 
Time series. 
[In] TVec Phi 
Returns estimates for Phi coefficients. AR(p) order is determined by Phi length. 
out double Sigma2 
Returns estimate for Sigma^2 i.e. (AR) model variance. 
[In] TVec StdErrs 
If not nil, it returns estimated phi coefficients standard errors. 
Remarks

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

See Also
Example

Calculate initial estimates for AR(3) process by using Yule-Walker 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); double s2; ts.LoadFromFile("timeser.vec"); phi.Length = 3; // for AR(3) process StatTimeSerAnalysis.ARYuleWalkerFit(ts,phi,out s2,null); } }
Group
Links
Copyright (c) 1999-2024 by Dew Research. All rights reserved.
Contents | Index | Home
What do you think about this topic? Send feedback!