pysteps.timeseries.autoregression.estimate_ar_params_yw

pysteps.timeseries.autoregression.estimate_ar_params_yw(gamma)

Estimate the parameters of an AR(p) model from the Yule-Walker equations using the given set of autocorrelation coefficients.

Parameters:

gamma : array_like

Array of length p containing the lag-l, l=1,2,…p, temporal autocorrelation coefficients. The correlation coefficients are assumed to be in ascending order with respect to time lag.

Returns:

out : ndarray

An array of shape (n,p+1) containing the AR(p) parameters for for the lag-p terms for each cascade level, and also the standard deviation of the innovation term.