[SciPy-User] How to calculate Yulewalk with scipy.optimize.leastsq

Neal Becker ndbecker2@gmail....
Tue Jan 17 12:32:44 CST 2012


klo uo wrote:

> http://www.mathworks.com/help/toolbox/signal/ref/yulewalk.html
> 
> http://help.scilab.org/docs/5.3.3/en_US/yulewalk.html
> 
> 
> On Mon, Jan 16, 2012 at 11:56 PM, <josef.pktd@gmail.com> wrote:
> 
>> I have no idea about whether or how it can be used for filter design?
>>
>> For estimation of the filter from data, the Yule Walker equations can only
>> estimate a autoregressive process, not an IIR filter (ARMA process).
>>
>>

Many years ago I played around with using YuleWalker as a digital filter design 
technique.  There, I added white noise to the model (adding to the diagonal 
terms of the correlation matrix), and by varying the amount of noise, you could 
vary the filter characteristics.



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