The Journal of the Acoustical Society of Korea
- Volume 15 Issue 2E
- /
- Pages.4-7
- /
- 1996
- /
- 1225-4428(pISSN)
A Formula for Computing the Autocorrelations of the AR Process
Abstract
In this paper, we propose a formula to compute the exact autocorrelations of the autoregressive (AR) process. For an arbitrary value of N, we first review the Yule-Walker equation and some basic properties of the AR model. We then modify the Yule-Walker equation to construct a new system of N+1 linear equations that can be used to solve for the N+1 autocorrelation coefficients for lags 0, 1, …, N, provided that the AR parameters of order N and the power of the white noise of the AR process are given.
Keywords