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Yule–Walker Equations

  1. Bing Cheng

Published Online: 15 JUL 2005

DOI: 10.1002/0470011815.b2a12085

Encyclopedia of Biostatistics

Encyclopedia of Biostatistics

How to Cite

Cheng, B. 2005. Yule–Walker Equations. Encyclopedia of Biostatistics. 8.

Author Information

  1. University of Kent, Canterbury, UK

Publication History

  1. Published Online: 15 JUL 2005

Abstract

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.

Keywords:

  • stationary;
  • autoregressive;
  • autocorrelation