Scilab Function lev - Yule-Walker equations (Levinson's algorithm)
Calling Sequence
- [ar,sigma2,rc]=lev(r)
Parameters
- r
: correlation coefficients
- ar
: auto-Regressive model parameters
- sigma2
: scale constant
- rc
: reflection coefficients
Description
resolve the Yule-Walker equations
using Levinson's algorithm.
Author