[SciPy-user] Estimating AR(1) model?
Sat Dec 8 18:19:56 CST 2007
Is there a quick approach for estimating a simple AR(1) time series
model from a vector of data points? Currently I use lingregress on
lagged data and roll my own standard error computations. It would be
great if someone smarter than I has done this already, especially if
they use MLE or Yule-Walker.
I am using Gentoo, scipy.__version__ == '0.6.0', and I can't find a
scipy/stats/models directory in my installation, if that matters.
More information about the SciPy-user