[Numpy-discussion] partial autocorrelation function

[Skipper Seabold]

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

Skipper