In the above example, we implemented essentially the covariance method of LP directly (the autocorrelation estimate was unbiased). The code should run in either Octave or Matlab with the Signal Processing Toolbox.
The Matlab Signal Processing Toolbox has the function lpc available. (LPC stands for ``Linear Predictive Coding.'')
The Octave-Forge lpc function (version 20071212) is a wrapper for the lattice function which implements Burg's method by default. Burg's method has the advantage of guaranteeing stability ( is minimum phase) while yielding accuracy comparable to the covariance method. By uncommenting lines in lpc.m, one can instead use the ``geometric lattice'' or classic autocorrelation method (called ``Yule-Walker'' in lpc.m). For details, ``type lpc''.