How to calculate AR coefficients from auto correlations

jhon · July 15th, 2010, 3:40 pm

I am trying to calculate the coefficients of an AR model, when given the autocorrelations of the model.I am using the equation from 2.5 here:http://www-stat.wharton.upenn.edu/~stee ... ortunately, my solution does not work. Is there a bug in my code, or are the yule walker equations unable to model this sort of system?Is there a prewritten matlab function that can give me the coefficients of an AR model, when given the autocorrelations as a parameter?My code is here:

vijsai · July 15th, 2010, 6:56 pm

as far as I know, there is no easy and accurate way to automatically identify/calc the parameter for AR(p) model. If you are pressed to automate, you might use AIC, SBC etc. to identify the parameter but that could be a poor practice. The only way that I can think of is manually trying different parameters starting 1 and see where acf drops and if it's the number of lags is justifying. It's an art + science. I am not a statistician though.