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.
Prerequisites
Key Concepts and Screenshots
Concepts and Screenshots for Autoregressive Models: The Yule-Walker Equations
Supplementary Material
QuizzesStatus
