partial autocorrelation function

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.

On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <markbak@gmail.com> 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.
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On Thu, Mar 25, 2010 at 11:14 AM, <josef.pktd@gmail.com> wrote:
On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <markbak@gmail.com> 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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On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <markbak@gmail.com> 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... Skipper

On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <markbak@gmail.com> 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
Skipper _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion

On Thu, Mar 25, 2010 at 11:25 AM, <josef.pktd@gmail.com> wrote:
On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold <jsseabold@gmail.com> wrote:
On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <markbak@gmail.com> 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
participants (3)
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josef.pktd@gmail.com
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Mark Bakker
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Skipper Seabold