Posts by Ed Herbst
Analysis of An AR(1) Model in PyMC
- 07 January 2023
Consider the following AR(2) process, initialized in the infinite past:
\[
y_t = \rho_0 + \rho_1 y_{t-1} + \rho_2 y_{t-2} + \epsilon_t,
\]
where \(\epsilon_t \overset{iid}{\sim} {\cal N}(0,1)\). Suppose you’d like to learn about \(\rho\) from a a sample of observations \(Y^T = \{ y_0, y_1,\ldots, y_T \}\).