mardi 24 novembre 2015

Python - generate array of specific autocorrelation

I am interested in generating an array(or numpy Series) of length N that will exhibit specific autocorrelation. Ideally, I want to specify the mean and variance, as well, and have the data drawn from (multi)normal distribution. But most importantly, I want to specify the autocorrelation. How do I do this with numpy, or scikit-learn?




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