--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/scripts/signal/yulewalker.m	Fri Oct 23 05:44:01 1998 +0000
@@ -0,0 +1,52 @@
+## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
+## 
+## This program is free software; you can redistribute it and/or modify
+## it under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 2, or (at your option)
+## any later version.
+## 
+## This program is distributed in the hope that it will be useful, but
+## WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+## General Public License for more details. 
+## 
+## You should have received a copy of the GNU General Public License
+## along with this file.  If not, write to the Free Software Foundation,
+## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
+
+## usage:  [a, v] = yulewalker (c)
+## 
+## fits an AR (p)-model with Yule-Walker estimates.
+## c = [gamma_0, ..., gamma_p] autocovariances
+## a .... AR coefficients
+## v .... variance of white noise
+  
+## Author:  FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description:  Fit AR model by Yule-Walker method
+  
+function [a, v] = yulewalker (c)
+  
+  p = length (c) - 1;
+  
+  if (columns (c) > 1)
+    c = c';
+  endif
+  
+  cp = c(2 : p+1);
+  CP = zeros(p, p);
+  
+  for i = 1:p
+    for j = 1:p
+      CP (i, j) = c (abs (i-j) + 1);
+    endfor
+  endfor
+  
+  a = inv (CP) * cp;
+  v = c(1) - a' * cp;
+  
+endfunction
+    
+
+  
+
+