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

josef.pktd@gmai... josef.pktd@gmai...
Fri Feb 19 15:43:45 CST 2010


On Fri, Feb 19, 2010 at 4:19 PM, David Warde-Farley <dwf@cs.toronto.edu> wrote:
>
> On 19-Feb-10, at 10:49 AM, josef.pktd@gmail.com wrote:
>
>> 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.
>
> By GMM do you mean Gaussian mixture? I have some fairly well-tested
> code for that if you're interested (with a bunch of features like
> selective component updates, various sorts of pseudocount strategies,
> etc.

No, Generalized Method of Moments, sorry, too much econometrics context.
Generalized Method of Moments GMM is an generic estimation method
similar to maximum likelihood or matching moments that has a very wide
range of applications, but in contrast to MLE uses much less
distributional information.

It's dangerous to use acronyms because often they mean different
things in different fields.

Gaussian Mixture Models GMM are more the domain of scikits.learn with
David C's EM code.

Josef

Josef

>
> David
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