[Numpy-discussion] partial autocorrelation function

josef.pktd@gmai... josef.pktd@gmai...
Thu Mar 25 10:21:38 CDT 2010


On Thu, Mar 25, 2010 at 11:14 AM,  <josef.pktd@gmail.com> wrote:
> 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.

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)
Josef


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