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GLOSSARY OF TERMS USED IN TIME SERIES ANALYSIS
OF CARDIOVASCULAR DATA
YULE-WALKER EQUATIONS

Set of linear equations relating the parameters of an AR model with the autocorrelation sequence.

If p is the model order, and s2 the variance of the noise component, then the equations are given by the matrix expression:

If RXX(k) (k=0,...p) are given, the AR coefficients and s2 can be obtained by solving the above set of p+1 linear equations (for instance, by using the fast Levinson-Durbin algorithm).

References:
Marple SL Jr. (1987) Digital spectral analysis with applications. Prentice Hall, Englewood Cliffs, New Jersey

(PC 07-09-1999)

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