6.11.1. statsmodels.sandbox.tsa

functions and classes time series analysis

6.11.1.1. Status

work in progress

6.11.1.1.1. arima.py

ARIMA : initial class, uses conditional least squares, needs merging with new class arma2ar arma2ma arma_acf arma_acovf arma_generate_sample arma_impulse_response deconvolve index2lpol lpol2index mcarma22

6.11.1.1.2. movstat.py

I had tested the next group against matlab, but where are the tests ? acf acovf ccf ccovf pacf_ols pacf_yw

These hat incorrect array size, were my first implementation, slow compared to cumsum version in la and cython version in pandas. These need checking, and merging/comparing with new class MovStats check_movorder expandarr movmean : movmoment : corrected cutoff movorder movvar

6.11.1.2. Functions

movmean(x[, windowsize, lag])	moving window mean
movmoment(x, k[, windowsize, lag])	non-central moment
movorder(x[, order, windsize, lag])	moving order statistics
movvar(x[, windowsize, lag])	moving window variance