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Yule Walker , Burg and Hannan Rissanen Algorithms + Example

AR Parameter Estimation using Yule-Walker and Burg Algorithms

void yw(double *x, int N, int p, double *phi, double *var);// Yule-Walker Method

void burg(double *x, int N, int p, double *phi, double *var);// Burg's Method

// x - Input Time Series
// N - Length of x
// p - Number of AR coefficients
// phi - AR coefficients
// var - Variance

ARMA Parameter Estimation using Hannan Rissanen Algorithm

void hr(double *x, int N, int p, int q, double *phi, double *theta, double *var);

// x - Input Time Series
// N - Length of x
// p - Number of AR coefficients
// phi - AR coefficients
// q - Number of MA coefficients
// theta - MA coefficients 
// var - Variance

Example

Latest Version Of Code Here

#include <stdio.h>
#include <stdlib.h>
#include <math.h>
#include "../header/ctsa.h"

int main(void) {
        int i, N;
        double *inp;
        int p,q;
        double var, wmean;
        double *phi,*theta;


        FILE *ifp;
        double temp[1200];
        printf("OK");

        ifp = fopen("seriesA.txt", "r");
        i = 0;
        if (!ifp) {
                printf("Cannot Open File");
                exit(100);
        }
        while (!feof(ifp)) {
                fscanf(ifp, "%lf \n", &temp[i]);
                i++;
        }
        N = i;

        inp = (double*)malloc(sizeof(double)* N);
        wmean = mean(temp, N);

        for (i = 0; i < N; ++i) {
                inp[i] = temp[i];
                //printf("%g \n",inp[i]);
        }

        fclose(ifp);
        p = 7;

        phi = (double*)malloc(sizeof(double)* p);

        printf("AR Coefficients Using Yule Walker Algorithm \n");
        yw(inp, N, p, phi, &var);
        printf("\n");
        printf("PHI : ");
        for (i = 0; i < p; ++i) {
                printf("%g ", phi[i]);
        }
        printf("\n");

        printf("VAR %g \n",var);
        printf("\n");

        printf("AR Coefficients Using Burg Algorithm \n");
        burg(inp, N, p, phi, &var);
        printf("\n");
        printf("PHI : ");
        for (i = 0; i < p; ++i) {
                printf("%g ", phi[i]);
        }
        printf("\n");

        printf("VAR %g \n", var);
        free(phi);

        p = 1;
        q = 1;

        phi = (double*)malloc(sizeof(double)* p);
        theta = (double*)malloc(sizeof(double)* q);
        printf("\n");
        printf("ARMA Coefficients Using Hannan Rissanen Algorithm \n");
        hr(inp, N, p, q, phi,theta, &var);
        printf("\n");
        printf("PHI : ");
        for (i = 0; i < p; ++i) {
                printf("%g ", phi[i]);
        }
        printf("\n");

        printf("THETA : ");
        for (i = 0; i < q; ++i) {
                printf("%g ", theta[i]);
        }
        printf("\n");

        printf("VAR %g \n", var);




        free(inp);
        free(phi);
        free(theta);

        return 0;

}