[Numpy-discussion] partial autocorrelation function
Thu Mar 25 10:40:28 CDT 2010
On Thu, Mar 25, 2010 at 11:25 AM, <firstname.lastname@example.org> wrote:
> On Thu, Mar 25, 2010 at 11:20 AM, Skipper Seabold <email@example.com> wrote:
>> On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <firstname.lastname@example.org> 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.
>> I'm sure there's another version somewhere, but I couldn't find one
>> and wrote pacorr
>> 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:
> My versions are in the last release
> difference in the third (I think) decimal compared to matlab, where I
> didn't find out the reason
Ah, there they are. To be clear, use these then, as I'll be removing the other.
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