Thanks Junpeng. I took a look at the AR function.
Unfortunately, the autocorrelation is just part of my model. I need to estimate all the x-values as well as the ro and sigma-values. As far as I can tell, the AR function will not help me estimate the x-values.
This model has been implemented in pymc2. I suspect the implementation is also possible in pymc3 - but I am just not seeing it.
Any assistance is appreciated.
Wayne