Calculation of The AR Parameters
There are many ways to estimate the coefficients, such as the ordinary least squares procedure, method of moments (through Yule Walker equations), or Markov chain Monte Carlo methods.
The AR(p) model is given by the equation
It is based on parameters where i = 1, ..., p. There is a direct correspondence between these parameters and the covariance function of the process, and this correspondence can be inverted to determine the parameters from the autocorrelation function (which is itself obtained from the covariances). This is done using the Yule-Walker equations.
Read more about this topic: Autoregressive Model
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