25 Mar
2010
25 Mar
'10
3:21 p.m.
On Thu, Mar 25, 2010 at 11:14 AM,
On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker
wrote: Anybody know of a partial autocorrelation function in numpy? Maybe in scipy?
Thanks,
Mark
ps. I know, not too difficult, but if it is around I'd be happy to use it.
We have partial autocorrelation in scikits.statsmodels, based on ols or on yule walker. I think it's possible to get them more efficiently with Levinson-Durbin recursion e.g. in scikits.talkbox, but I haven't figured out yet how to recover it. (I hit the wrong button in the previous message) Josef
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