25 Mar
2010
25 Mar
'10
8:50 p.m.
On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker
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... Skipper