[SciPy-user] Estimating AR(1) model?
Arthur M. Greene
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:
It is based on Numeric; you'll have to probe a little to figure out what
algorithm is used for the estimation.
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.
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