6.6.1.2.6. statsmodels.sandbox.panel.correlation_structures.yule_walker_acov¶

statsmodels.sandbox.panel.correlation_structures.yule_walker_acov(acov, order=1, method='unbiased', df=None, inv=False)[source]¶

Estimate AR(p) parameters from acovf using Yule-Walker equation.

Parameters:

acov : array-like, 1d

auto-covariance

order : integer, optional

The order of the autoregressive process. Default is 1.

inv : bool

If inv is True the inverse of R is also returned. Default is False.

Returns:

rho : ndarray

The estimated autoregressive coefficients

sigma

TODO

Rinv : ndarray

inverse of the Toepliz matrix