about Time Series analysis

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May 15, 2018, 12:02:33 PM5/15/18

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Hi,

I was curious to know if stats-models has implemented something in the realm of

time-series analysis called : Change-Point-Analysis.

If this is already implemented in some form in stats-models, please if you will

point me in the direction of where it is in stats-models.

Regards,

P.

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May 15, 2018, 8:12:09 PM5/15/18

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There is not yet anything very systematic in this area.

Chad has a notebook with some outlier and level shift detection

The recursive LS model has a CUSUM test, but that's more for structural breaks in linear regression.

Chad has some code from an early GSOC project, but otherwise there isn't much yet.

Josef

Regards,

P.

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May 15, 2018, 10:43:39 PM5/15/18

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Hi Josef,

Thanks for letting me know the extent that stats-models has for change point analysis.

The CUSUM test for structural breaks in linear regression , that would be of interest to me.