[Numpy-discussion] partial autocorrelation function
Thu Mar 25 10:21:38 CDT 2010
On Thu, Mar 25, 2010 at 11:14 AM, <firstname.lastname@example.org> wrote:
> On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <email@example.com> wrote:
>> Anybody know of a partial autocorrelation function in numpy? Maybe in scipy?
>> ps. I know, not too difficult, but if it is around I'd be happy to use it.
We have partial autocorrelation in scikits.statsmodels, based on ols
or on yule walker.
I think it's possible to get them more efficiently with
Levinson-Durbin recursion e.g. in scikits.talkbox, but I haven't
figured out yet how to recover it.
(I hit the wrong button in the previous message)
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