On Thu, Mar 25, 2010 at 11:25 AM, <[email protected]> wrote: > 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 >
Ah, there they are. To be clear, use these then, as I'll be removing the other. Skipper _______________________________________________ NumPy-Discussion mailing list [email protected] http://mail.scipy.org/mailman/listinfo/numpy-discussion
