Yule-Walker AR estimation — morie_yule

Solves the Toeplitz system \(R a = -r\) on the BIASED autocorrelation, which is positive semi-definite and therefore guarantees a stable fitted model. Mirrors morie.fn.rgyw.

Usage

morie_yule_walker(x, order = 4L)

Arguments

x: numeric signal.
order: AR order.

Value

list: a, sigma2, order, stable.

References

Rangayyan (2015), Ch. 3.

Examples

set.seed(1)
morie_yule_walker(rnorm(200), order = 2)$stable
#> [1] TRUE