On Thu, Mar 25, 2010 at 11:10 AM, Mark Bakker <mark...@gmail.com> wrote: > Anybody know of a partial autocorrelation function in numpy? Maybe in scipy? > > Thanks, > > Mark > > 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 http://bazaar.launchpad.net/~jsseabold/statsmodels/statsmodels-skipper/annotate/head%3A/scikits/statsmodels/sandbox/tsa/stattools.py#L92 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: http://bazaar.launchpad.net/~jsseabold/statsmodels/statsmodels-skipper/annotate/head%3A/scikits/statsmodels/sandbox/tools/tools_tsa.py Skipper _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion
