Published Online: 15 JUL 2005
Copyright © 2005 John Wiley & Sons, Ltd
Encyclopedia of Biostatistics
How to Cite
Cheng, B. 2005. Yule–Walker Equations. Encyclopedia of Biostatistics. 8.
- Published Online: 15 JUL 2005
In a stationary autoregressive time series of order p, the Yule–Walker equations are a set of p linear equations for the regression coefficients in terms of the autocorrelation functions. By estimating the latter, one can obtain estimates of the former.