Statistical computations and models for Python

## Project description

statsmodels is a Python package that provides a complement to scipy for statistical computations including descriptive statistics and estimation and inference for statistical models.

## Documentation

The documentation for the latest release is at

https://www.statsmodels.org/stable/

The documentation for the development version is at

https://www.statsmodels.org/dev/

Recent improvements are highlighted in the release notes

https://www.statsmodels.org/stable/release/version0.9.html

Backups of documentation are available at https://statsmodels.github.io/stable/ and https://statsmodels.github.io/dev/.

## Main Features

• Linear regression models:

• Ordinary least squares

• Generalized least squares

• Weighted least squares

• Least squares with autoregressive errors

• Quantile regression

• Recursive least squares

• Mixed Linear Model with mixed effects and variance components

• GLM: Generalized linear models with support for all of the one-parameter exponential family distributions

• Bayesian Mixed GLM for Binomial and Poisson

• GEE: Generalized Estimating Equations for one-way clustered or longitudinal data

• Discrete models:

• Logit and Probit

• Multinomial logit (MNLogit)

• Poisson and Generalized Poisson regression

• Negative Binomial regression

• Zero-Inflated Count models

• 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

• Unobserved Component 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

• Vector error correction modle, VECM

• exponential smoothing, Holt-Winters

• 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

• Multivariate:

• Principal Component Analysis with missing data

• Factor Analysis with rotation

• MANOVA

• Canonical Correlation

• Nonparametric statistics: Univariate and multivariate 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

• Imputation with MICE, regression on order statistic and Gaussian imputation

• Mediation analysis

• Graphics includes plot functions for visual analysis of data and model results

• I/O

• 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

## How to get it

The master branch on GitHub is the most up to date code

https://www.github.com/statsmodels/statsmodels

https://github.com/statsmodels/statsmodels/tags

Binaries and source distributions are available from PyPi

https://pypi.org/project/statsmodels/

Binaries can be installed in Anaconda

conda install statsmodels

## Installing from sources

See INSTALL.txt for requirements or see the documentation

https://statsmodels.github.io/dev/install.html

## Contributing

Contributions in any form are welcome, including:

• Documentation improvements

• New features to existing models

• New models

https://statsmodels.github.io/dev/test_notes.html

for instructions on installing statsmodels in editable mode.

Modified BSD (3-clause)

## Discussion and Development

Discussions take place on the mailing list

and in the issue tracker. We are very interested in feedback about usability and suggestions for improvements.

## Bug Reports

Bug reports can be submitted to the issue tracker at

https://github.com/statsmodels/statsmodels/issues

## Project details

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