[SciPy-user] STARPAC, other time series analysis tools for use in python/scipy

Wes McKinney wesmckinn@gmail....
Sat Aug 2 16:21:02 CDT 2008


Hello all,

For the past several months I have been using numpy/scipy to do a decent
amount of linear modeling, time series analysis, etc. Nothing too fancy, but
have been able to put the scipy.stats.models package to good use. My code is
fairly general but like most things been tailored specifically for my
applications (which are primarily financial/econometric in nature), and I
have put together some classes in a similar vein to the Scikits TimeSeries
package.

I am starting to think more big picture about developing a substantial
toolkit in numpy/scipy that would be useful for econometricians and
financial engineers (among others), and in particular which would replace /
complement a lot of the functionality found in R and to some extent in the
toolboxes available for MATLAB (I am decidedly anti-matlab). Toward that
end, I am wondering if anyone knows of anything that exists in python for
these purposes, the kind of stuff that is done in RATS, gretl, the MATLAB
ARMAX/GARCH toolbox or financial engineering toolbox. Any suggestions about
a good starting point? I have come across a smattering of code around the
internet but there doesn't seem to be much cohesion in this area of
research. I saw also there is an existing Fortran library, STARPAC, for
regression / time series analysis which may suggest some f2py work-- doesn't
look like anyone has wrapped this library yet, is this a worthwhile
collection of tools? I have no Fortran / f2py experience, but am interested
enough to learn. Wrapping STARPAC would probably be a pretty substantial
project, maybe a worthwile future addition to scipy.

Any advice here would be appreciated.

Thanks,
Wes McKinney
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