Parameter Estimation for an AR(1)

Question:Parameter Estimation for an AR(1)

Posted: MrMarc 3158 Product: Maple

October 05 2009

How can I simulate and estimate the parameter value p for an AR(1) model of the form X(t) = p*X(t-1) +E

or alternatively X(t) - X(t-1)=p*X(t-1) - X(t-1) + E where E is a random term

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