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

josef.pktd@gmai... josef.pktd@gmai...
Fri Feb 19 09:49:36 CST 2010


On Fri, Feb 19, 2010 at 10:22 AM, Skipper Seabold <jsseabold@gmail.com> wrote:
> On Fri, Feb 19, 2010 at 10:11 AM,  <josef.pktd@gmail.com> wrote:
>> On Fri, Feb 19, 2010 at 9:34 AM, Alan G Isaac <aisaac@american.edu> wrote:
>>> On 2/18/2010 6:43 PM, David Warde-Farley wrote:
>>>> There's quite a bit of code out there for doing L1 chicanery if
>>>> you're willing to acquiesce to the GPL, also notably this code:http://www.stanford.edu/~boyd/l1_logreg/
>>>
>>> Note that the authors include contact info at the bottom
>>> of that page, if you wish to explore whether they might
>>> consider releasing the code under a BSD license.
>>
>> Since the reference is using the interior point algorithm: there is a
>> generic linear programming function with interior point algorithm
>> available in gauss by Thierry Roncalli licensed under MIT which might
>> be useful as reference implementation. He uses it for LAD estimation
>> and in portfolio allocation (if I remember correctly). I'm not sure
>> whether there is an explanation in English.
>>
>
> Another nice resource: http://www.thierry-roncalli.com/
>
> Manual is in English, though the lecture notes are in French.  Lecture
> notes point to the relationship between LAD and Huber's method, which
> might be nice to compare to our code for the same.

He added last year the MIT license to all his code, except
unfortunately his time series code. I will eventually target his GMM
code, but some of the Gauss support functions are not yet available in
python. From a very brief look that I had at his Huber a while ago, I
thought we might have already more in statsmodels than he does,
although maybe estimated in a different way. His packages are based on
15 years of programming, there is too much to match it anytime soon.

Josef

>
> Skipper
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