On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold <[email protected]> wrote: > On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <[email protected]> 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 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 > [email protected] > http://mail.scipy.org/mailman/listinfo/numpy-discussion > _______________________________________________ NumPy-Discussion mailing list [email protected] http://mail.scipy.org/mailman/listinfo/numpy-discussion
