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## -*- texinfo -*-
## @deftypefn {} {[@var{a}, @var{v}] =} yulewalker (@var{c})
## Fit an AR (p)-model with Yule-Walker estimates given a vector @var{c} of
## autocovariances @code{[gamma_0, @dots{}, gamma_p]}.
##
## Returns the AR coefficients, @var{a}, and the variance of white noise,
## @var{v}.
## @end deftypefn

function [a, v] = yulewalker (c)

  if (nargin < 1)
    print_usage ();
  endif

  p = length (c) - 1;

  if (columns (c) > 1)
    c = c';
  endif

  cp = c(2 : p+1);
  CP = zeros (p, p);

  for i = 1:p
    for j = 1:p
      CP (i, j) = c (abs (i-j) + 1);
    endfor
  endfor

  a = inv (CP) * cp;
  v = c(1) - a' * cp;

endfunction
