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 11:20 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

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