qis.compute_ar1_unsmoothed_prices

qis.compute_ar1_unsmoothed_prices(prices, freq='QE', span=40, mean_adj_type=MeanAdjType.EWMA, warmup_period=8, max_value_for_beta=0.75, min_value_for_beta=-0.25, non_negative=False, non_negative_tol=0.0, is_log_returns=True, insufficient_data=InsufficientData.NAN)

Backward-compatible AR(1) price-level unsmoother (shim over compute_ar_unsmoothed_prices).

Equivalent to compute_ar_unsmoothed_prices(prices, ar_order=1, ...). Returns (navs, unsmoothed_returns, betas, r2).

Parameters:

• prices (DataFrame)

• freq (str | Series)

• span (int)

• mean_adj_type (MeanAdjType)

• warmup_period (int | None)

• max_value_for_beta (float | None)

• min_value_for_beta (float | None)

• non_negative (bool)

• non_negative_tol (float)

• is_log_returns (bool)

• insufficient_data (InsufficientData)

Return type:

Tuple[DataFrame, DataFrame, DataFrame, DataFrame]