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StatTimeSerAnalysis.DurbinLevinson Method
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The Durbin-Levinson algorithm.

Syntax
C#
Visual Basic
public static void DurbinLevinson([In] TVec gamma, [In] TVec Phi, out double Sigma2, [In] int NumEvals, [In] TVec PhiVar);
Parameters
Parameters 
Description 
[In] TVec gamma 
Defines covariances for Durbin-Levinson algorithm. 
[In] TVec Phi 
Returns phi[n,1]...phi[n,n] coefficients. 
out double Sigma2 
Returns estimated variance. 
[In] int NumEvals 
Defines number of iterations of the Durbin-Levinson algorithm. 
[In] TVec PhiVar 
If not nil, it returns phi coefficients variances. 
Remarks

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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