[Numpy-discussion] partial autocorrelation function

josef.pktd@gmai... josef.pktd@gmai...
Thu Mar 25 10:25:43 CDT 2010


On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold <jsseabold@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.
>>
>
> 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
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