This implements a modified yule-walker method for estimating the coefficients of an IIR filter that best matches an arbritrary frequency response. This is a port from sci-lab's version here: yulewalk.sci and is distributed by the same license (CeCILLv2.0).

$ pip install yulewalker

$ git clone https://github.com/mmxgn/yulewalker.git
$ cd yulewalker
$ python setup.py install

Using doctest:

$ python -m yulewalker.yulewalker -v

Using pytest:

$ pytest

See Example.ipynb

If you are using this code in your research please cite the original paper here:

Friedlander, Benjamin, and Boaz Porat. "The modified Yule-Walker method of ARMA spectral stimation." IEEE Transactions on Aerospace and Electronic Systems 2 (1984): 158-173.

See LICENSE

Thanks to Nonomo for backing this library.