[Numpy-discussion] partial autocorrelation function

josef.pktd at gmail.com josef.pktd at gmail.com
Thu Mar 25 11:25:43 EDT 2010

On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold <jsseabold at gmail.com> wrote:
> 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
> http://bazaar.launchpad.net/~jsseabold/statsmodels/statsmodels-skipper/annotate/head%3A/scikits/statsmodels/sandbox/tsa/stattools.py#L92
> 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/annotate/head%3A/scikits/statsmodels/sandbox/tools/tools_tsa.py

My versions are in the last release


difference in the third (I think) decimal compared to matlab, where I
didn't find out the reason


> Skipper
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