MATLAB: Which algorithm variant does YULEWALK use for the Yule-Walker recursive digital filter design in the Signal Processing Toolbox 6.12 (R2009b)

algorithmdocumentationmethodSignal Processing Toolboxvariantwalkeryuleyulewalk

The documentation for YULEWALK presents a simplified high-level overview of the algorithm for the function, and refers at the bottom to the following paper:
Friedlander, B., and B. Porat, "The Modified Yule-Walker Method of ARMA Spectral Estimation," IEEE Transactions on Aerospace Electronic Systems, AES-20, No. 2 (March 1984), pp.158-173.
Looking at this paper, there are multiple variants presented, and it is not clear which one the YULEWALK function actually uses.

Best Answer

The clarification on which algorithm variant the YULEWALK fucntion uses is missing from the documentation.
When estimating the AR coefficients, our YULEWALK function uses weighted least square method mentioned in page 161; when estimating the MA coefficients, our YULEWALK function follows the procedure in page 165, using n(z) as an intermediate step.
Related Question