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Time Series Analysis in Python with statsmodels

Wes McKinney
Duke University

Josef Perktold
University of North Carolina, Chapel Hill

Skipper Seabold
American University

Abstract

We introduce the new time series analysis features of scikits.statsmodels. This includes descriptive statistics, statistical tests and several linear model classes, autoregressive, AR, autoregressive moving-average, ARMA, and vector autoregressive models VAR.

Keywords

time series analysis, statistics, econometrics, AR, ARMA, VAR, GLSAR, filtering, benchmarking

Bibtex entry

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