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Time Series Analysis in Python with statsmodels - SciPy

time Series Analysis in Python with statsmodelsWes McKinney1 Josef Perktold2 Skipper Seabold31 Department of Statistical ScienceDuke University2 Department of EconomicsUniversity of North Carolina at Chapel Hill3 Department of EconomicsAmerican University10thPython in Science Conference, 13 July 2011 McKinney, Perktold, Seabold ( statsmodels ) Python time Series AnalysisSciPy Conference 20111 / 29 What is statsmodels ?A library for statistical modeling, implementing standard statisticalmodels in Python using NumPy and SciPyIncludes:Linear (regression) models of many formsDescriptive statisticsStatistical testsTime Series much moreMcKinney, Perktold, Seabold ( statsmodels ) Python time Series AnalysisSciPy Conference 20112 / 29 What is time Series Analysis ?

Vector Autoregression (VAR) models Widely used model for modeling multiple (K-variate) time series, especially in macroeconomics: Y t = A 1Y t 1 + :::+ A pY t p + t; t ˘N(0;) Matrices A i are K K. Y t must be a stationary process (sometimes achieved by di erencing). Related class of models (VECM) for modeling nonstationary (including ...

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