What is the Modified Covariance AR Estimator?
The Modified Covariance AR Estimator uses the modified covariance method to fit an autoregressive (AR) model to the input data. This method minimizes the forward and backward prediction errors in the least squares sense. The input is a frame of consecutive time samples, which is assumed to be the output of an AR...
![AUDUSD: Modified Covariance Autoregressive Estimator of Price [Loxx]](https://s3.tradingview.com/s/sgN2j9bH_mid.png "Modified Covariance Autoregressive Estimator of Price [Loxx]")
