On Tue, Nov 7, 2017 at 9:12 AM, Kenneth Odoh <kenneth.odoh@gmail.com> wrote:

Dear Sir,

I was thinking of adding a time series library to scipy. The Python ecosystem seems to be lacking in time series tool in comparison to their R counterpart. I had written a library that implements a number of popular algorithms, alongside some exotic ones.

maybe not as much as R has, but there is quite a bit in Python http://www.statsmodels.org/devel/tsa.html http://www.statsmodels.org/devel/statespace.html https://github.com/RJT1990/pyflux https://github.com/bashtage/arch and a few more, e.g. https://github.com/MaxBenChrist/awesome_time_series_in_python Josef

Pysmooth ( https://github.com/kenluck2001/pySmooth ) is a new time series library that I had written that implements the following algorithms.

- Time difference model - Online ARIMA Model - Discrete Kalman Filter - Extended Kalman Filter - Unscented Kalman Filter

The design goals for the project consist of the following.

- A real-time model for time series analysis. - A less computational intensive model thereby resulting in scalability. - A support for multivariate / univariate time series data.

Kindly let me know of your opinion on this package.

Kenneth Odoh Software Engineer

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