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

Arthur M. Greene amg@iri.columbia....
Tue Dec 18 09:51:24 CST 2007


Well, it's not scipy, but this small Python package has a convenient 
routine for estimating the parameters of an autoregressive process:

http://geosci.uchicago.edu/~cdieterich/span/

It is based on Numeric; you'll have to probe a little to figure out what 
algorithm is used for the estimation.

Cheers,

AMG

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.
> 
> 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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