Estimate AR(p) parameters from a sequence X using Yule-Walker equation.
Unbiased or maximum-likelihood estimator (mle)
See, for example:
http://en.wikipedia.org/wiki/Autoregressive_moving_average_model
Parameters: | X : array-like
order : integer, optional
method : string, optional
df : integer, optional
inv : Bool
|
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Returns: | rho :
sigma :
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Examples
>>> import scikits.statsmodels as sm
>>> from scikits.statsmodels.datasets.sunspots import Load
>>> data = Load()
>>> rho, sigma = sm.regression.yule_walker(data.endog, order=4, method="mle")
>>> rho
array([ 1.28310031, -0.45240924, -0.20770299, 0.04794365])
>>> sigma
16.808022730464351