[SciPy-user] Estimating AR(1) model?

Webb Sprague webb.sprague@gmail....
Sat Dec 8 18:19:56 CST 2007


Hi all,

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.

Thx
W


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