[Numpy-discussion] partial autocorrelation function

Skipper Seabold jsseabold at gmail.com
Thu Mar 25 11:20:38 EDT 2010

On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <markbak at 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


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:



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