[SciPy-User] OT: advice on modelling a time series

Robert Kern robert.kern@gmail....
Fri Mar 12 10:26:27 CST 2010

On Fri, Mar 12, 2010 at 09:46, Robin <robince@gmail.com> wrote:

> So, could anyone point me to anything that would be helpful in python
> (so far I did the AR with a matlab package I found)? Also any
> suggestions for how to proceed would be great - other than reading the
> wikipedia article I am completely new to this type of AR modelling. So
> far the only ideas I have involve either downsampling the signal (to
> try to reduce the order of AR model needed), or splitting it in
> frequency to low f/high f components and attempting to model them
> separately then recombine. Do either of these seem sensible?

The econometricians here will probably have more to add here, but I
suspect that you could use an ARCH or GARCH model:


Josef was working on implementing GARCH, but I don't think he
finished. There is MATLAB code:


And R code:


> Is it likely some non-linear model would be required (pos,vel and acc
> all have high kurtosis), or are normal AR models capable of recreating
> this kind of fine structure if tweaked sufficiently?

It is possible that once you allow heterskedasticity, you can account
for the marginal kurtosis.

Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
  -- Umberto Eco

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