[SciPy-user] Estimating AR(1) model?
Sat Dec 8 21:23:03 CST 2007
Webb Sprague wrote:
> 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.
Using Yule-Walker (and something like Levinson Durbin to solve it) for
AR(1) is kind of overkill. There is a function similar to lpc into my
sandbox (cdavid: from scipy.sandbox.cdavid import lpc). This gives you
the ar coefficients, the error, and the k coefficients (follows matlab
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