ABSTRACT
Among the stationary time series models discussed in the preceding
chapter, very efficient estimation methods can be derived for AR mod-
els. This chapter presents methods for estimating the parameters of the
AR model by the Yule-Walker method, the least squares method and the
PARCOR method. A method of determining the order of the AR model
using the AIC is also shown. In addition, the Yule-Walker method and
the least squares method for parameter estimation of the multivariate AR
model are shown.
