On Thu, Mar 25, 2010 at 11:25 AM,
On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold
wrote: 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.
I'm sure there's another version somewhere, but I couldn't find one and wrote pacorr
http://bazaar.launchpad.net/~jsseabold/statsmodels/statsmodels-skipper/annot...
It relies on statsmodels, but could easily be made to work without it. You can roll your own OLS, add_constant just adds a column of ones, and you can see lagmat here:
http://bazaar.launchpad.net/~jsseabold/statsmodels/statsmodels-skipper/annot...
My versions are in the last release
scikits.statsmodels.sandbox.tsa.pacf_ols scikits.statsmodels.sandbox.tsa.pacf_yw
difference in the third (I think) decimal compared to matlab, where I didn't find out the reason
Josef
Ah, there they are. To be clear, use these then, as I'll be removing the other. Skipper