// estimation des coefficients d'un AR(ordre)
function [phi]=ar_fit(X, ordre)
  T = length(X);
  X_bar = mean(X);
  fact = sum((X-X_bar).^2);
  
  for i=1:ordre
    rho(i) = sum( (X(i+1:T) - X_bar).* (X(1:T-i) - X_bar) ) /  fact;
  end
  
  r=zeros(ordre,ordre);
  for i=1:ordre
    r = r+diag(rho(i)*ones(1,ordre-i),i);
  end
  r = r+r'+eye(ordre,ordre);
  phi = r\rho(1:ordre);
endfunction