ARYuleWalkerFit Routine

Summary

Yule-Walker AR estimation.

Declaration

Procedure ARYuleWalkerFit(Data: TVec; Phi: TVec; out Sigma2: TSample; StdErrs: TVec = nil);

Parameter	Description
Data	Time series.
Phi	Returns estimates for Phi coefficients. AR(p) order is determined by Phi length.
Sigma2	Returns estimate for Sigma^2 i.e. (AR) model variance.
StdErrs	If not nil, it returns estimated phi coefficients standard errors.

Description

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

See Also
ARBurgFit

Example 1

Calculate initial estimates for AR(3) process by using Yule-Walker algorithm.

  Uses MtxExpr, StatTimeSerAnalysis, Math387;
  procedure Example;
  var ts,phi: Vector;
      s2: TSample;
  begin
    ts.LoadFromFile('timeser.vec');
    phi.Length := 3; // for AR(3) process
    ARYuleWalker(ts,phi,s2);
  end;

  #include "MtxVecCpp.h"
  #include "Math387.hpp"
  #include "StatTimeSerAnalysis.hpp"
  void __fastcall Example();
  {
    Vector ts,phi;
    double s2;
    ts->LoadFromFile("timeser.vec");
    phi->Length = 3; // for AR(3) process
    ARYuleWalker(ts,phi,s2,NULL);
  }

  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.ARYuleWalker(ts,phi,out s2,null);
    }
  }