About Statsmodels
Statsmodels is a Python package that provides a complement to scipy for
statistical computations including descriptive statistics and estimation
and inference for statistical models.
Main Features
- Linear regression models:
- Ordinary least squares
- Generalized least squares
- Weighted least squares
- Least squares with autoregressive errors
- Quantile regression
- Mixed Linear Model with mixed effects and variance components
- GLM: Generalized linear models with support for all of the one-parameter
exponential family distributions
- GEE: Generalized Estimating Equations for one-way clustered or longitudinal data
- Discrete models:
- Logit and Probit
- Multinomial logit (MNLogit)
- Poisson regression
- Negative Binomial regression
- RLM: Robust linear models with support for several M-estimators.
- Time Series Analysis: models for time series analysis
- Complete StateSpace modeling framework
- Seasonal ARIMA and ARIMAX models
- VARMA and VARMAX models
- Dynamic Factor models
- Markov switching models (MSAR), also known as Hidden Markov Models (HMM)
- Univariate time series analysis: AR, ARIMA
- Vector autoregressive models, VAR and structural VAR
- Hypothesis tests for time series: unit root, cointegration and others
- Descriptive statistics and process models for time series analysis
- Survival analysis:
- Proportional hazards regression (Cox models)
- Survivor function estimation (Kaplan-Meier)
- Cumulative incidence function estimation
- Nonparametric statistics: (Univariate) kernel density estimators
- Datasets: Datasets used for examples and in testing
- Statistics: a wide range of statistical tests
- diagnostics and specification tests
- goodness-of-fit and normality tests
- functions for multiple testing
- various additional statistical tests
- Imputation with MICE and regression on order statistic
- Mediation analysis
- Principal Component Analysis with missing data
- I/O
- Tools for reading Stata .dta files into numpy arrays.
- Table output to ASCII, LaTeX, and HTML
- Miscellaneous models
- Sandbox: statsmodels contains a sandbox folder with code in various stages of
development and testing which is not considered “production ready”. This covers
among others
- Generalized method of moments (GMM) estimators
- Kernel regression
- Various extensions to scipy.stats.distributions
- Panel data models
- Information theoretic measures
License
Modified BSD (3-clause)
