## Copyright (C) 1995, 1996, 1997 Friedrich Leisch ## ## This program is free software; you can redistribute it and/or modify ## it under the terms of the GNU General Public License as published by ## the Free Software Foundation; either version 2, or (at your option) ## any later version. ## ## This program is distributed in the hope that it will be useful, but ## WITHOUT ANY WARRANTY; without even the implied warranty of ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU ## General Public License for more details. ## ## You should have received a copy of the GNU General Public License ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. ## usage: [a, v] = yulewalker (c) ## ## fits an AR (p)-model with Yule-Walker estimates. ## c = [gamma_0, ..., gamma_p] autocovariances ## a .... AR coefficients ## v .... variance of white noise ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> ## Description: Fit AR model by Yule-Walker method function [a, v] = yulewalker (c) p = length (c) - 1; if (columns (c) > 1) c = c'; endif cp = c(2 : p+1); CP = zeros(p, p); for i = 1:p for j = 1:p CP (i, j) = c (abs (i-j) + 1); endfor endfor a = inv (CP) * cp; v = c(1) - a' * cp; endfunction

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