[Numpy-discussion] partial autocorrelation function
Thu Mar 25 10:25:43 CDT 2010
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
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