Re: How does the Yule Walker method for calculating autocorrelation work?

"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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