674855
Description
To derive a pair of linear equations for the least squares estimates of?φ1 and?φ2 for a causal AR (2) process (with mean zero). Compare your equations with those for the Yule–Walker estimates. (Assume that the mean is known to be zero in writing down the latter equations, so that the sample auto covariances are
SOLUTION
There was considered the vector m= [-1,5,2, -1, -2, -1,2, -3, -1] with the sum of its elements 0.
And after running the .m code in command window there were obtained the following phi coefficients for the AR (2) process:
[0.1391, -0.3215]. See the code attached.
