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Autoregressive Models: The Yule-Walker Equations

August 10, 2019 by

Autoregressive models for time series are widely used because of their simplicity and their applicability to resonant phenomena. In this lesson you will learn how the Yule-Walker equations relate the autoregressive model parameters to the autocovariance of the time series. The autoregressive model parameters are obtained from the autocovariance of the time series by solving a system of linear equations. The Yule-Walker equations provide a straightforward means to estimate an autoregressive model from data.

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