The Yule-Walker Equations and Algorithms for Their Solution

"Every cell phone call solves the Yule-Walker equations every ten microseconds." Thierry Dutoit

The Yule-Walker equations are pervasive in science and technology, and, even though we are most concerned with their role in financial time series, we would be like ostriches with our heads in the sand if we chose to ignore the huge investment that the scientific community has made to master the understanding of these equations.

Here you will find some of the resources that I found on the web that provide additional background on the Yule-Walker equations, their solutions, and the competing methods for the fitting of AR(p) models. As usual, I give a brief introduction to the link and suggest how the material fits into our course, but, if you have the time, it is always best to let each article speak for itself.

Links suffice to get you to the good stuff, but for citation purposes you may eventually need complete references. I am sure that you can get these when the need arises, so, for the moment, I take the liberty of being brief. Eventually, I (or a work-study student!) will flush out the incomplete references.

Introductory or Culturally Oriented Pieces

Yule and Walker Originals

Criticisms, Advanced Algorithms, and Research Oriented Pieces