[SciPy-User] [ANN] scikit.statsmodels 0.2.0 release

josef.pktd@gmai... josef.pktd@gmai...
Thu Feb 18 17:23:55 CST 2010


hit the wrong button

On Thu, Feb 18, 2010 at 5:34 PM,  <josef.pktd@gmail.com> wrote:
> On Thu, Feb 18, 2010 at 5:30 PM, Gael Varoquaux
> <gael.varoquaux@normalesup.org> wrote:
>> On Thu, Feb 18, 2010 at 05:24:58PM -0500, David Warde-Farley wrote:
>>
>>> On 16-Feb-10, at 2:14 PM, Skipper Seabold wrote:
>>
>>> > * Added four discrete choice models: Poisson, Probit, Logit, and
>>> > Multinomial Logit.

They are still new, so some problems might still be lurking around.

>>
>>> Awesome. I look forward to trying these out (by the way, do you
>>> support any regularization methods? L2/L1?)

L2 Tychonov style penalization is planned for specific models, eg.
generalized/Bayesian Ridge Regression, Vector Autoregressive
Regression with dummy variable priors and other shrinkage estimators
when there are too many parameters to estimate.

There are no plans for Lasso, although I would like LARS as a
complement to Principal Component Regression, but it's not high on the
priority list.

Josef

>>
>> We'll be adding these to scikit learn pretty soon :). We might use
>> compiled code, for efficiency, or maybe not, we haven't decided yet.
>>
>> Gaël
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>


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