Re: How does the Yule Walker method for calculating autocorrelation work?
- From: "Wayne King" <wmkingty@xxxxxxxxx>
- Date: Mon, 21 Sep 2009 22:09:21 +0000 (UTC)
"esk gee" <catchyouraakash@xxxxxxxxx> wrote in message <h98os0$a42$1@xxxxxxxxxxxxxxxxxx>...
The relevant link:
http://www.iat.uci.edu/dcslib/matlab/matlab-v53/help/toolbox/signal/aryule.html
I want to know the algorithm. Does somebody know a link to a place where it is explained. Google didn't help much.
Thanks
Hi, the Yule-Walker estimates are computed using an algorithm known as the Levinson-Durbin algorithm or Levinson-Durbin recursions. Both the Yule-Walker method and the actual algorithm are explained in many books on statistical signal processing including:
Monson,H. Statistical Digital Signal Processing and Modeling, John Wiley & Sons, 1996
Percival, D.B., and A.T. Walden, Spectral Analysis for Physical Applications: Multitaper and Conventional Univariate Techniques, Cambridge University Press, 1993.
P.J. Brockwell and R.A. Davis. Time Series: Theory and Methods, second edition (1991)
, Springer-Verlag, New York.
Hope that helps,
wayne
.
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