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yulewalker

PURPOSE ^

% Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c}

SYNOPSIS ^

function [a, v] = yulewalker (c)

DESCRIPTION ^

% -*- texinfo -*-
% @deftypefn {Function File} {[@var{a}, @var{v}] =} yulewalker (@var{c})
% Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c}
% of autocovariances @code{[gamma_0, @dots{}, gamma_p]}.
%
% Returns the AR coefficients, @var{a}, and the variance of white
% noise, @var{v}.
% @end deftypefn

CROSS-REFERENCE INFORMATION ^

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