Parameter estimation using yule-walker method

1. What is Yule Walker estimation?
2. What is the Yule Walker equation used for?
3. What are the methods used for parameter estimation?

What is Yule Walker estimation?

The Yule-Walker Method block estimates the power spectral density (PSD) of the input using the Yule-Walker AR method. This method, also called the autocorrelation method, fits an autoregressive (AR) model to the windowed input data. It does so by minimizing the forward prediction error in the least squares sense.

What is the Yule Walker equation used for?

The Yule-Walker equations are the building block of the linear AR model, connecting its parameters to the covariance function of the process. The model parameters are therefore estimated from the covariances of the time series. Forecasting can be considered by applying the resulting predictive model.

What are the methods used for parameter estimation?

The parameters were estimated by five different methods, namely, maximum likelihood estimation, ordinary least squares, weighted least squares, maximum product of spacing, and Cramér-von Mises.