[SciPy-User] [ANN] scikit.statsmodels 0.2.0 release

[josef.pktd at gmail.com]

On Thu, Feb 18, 2010 at 7:04 PM, Gael Varoquaux
<gael.varoquaux at normalesup.org> wrote:
> On Thu, Feb 18, 2010 at 06:59:14PM -0500, josef.pktd at gmail.com wrote:
>> but I haven't seen anything yet that would be BSD compatible.
>
> We actually have some code in the lab. It is based on proximal iterations,
> or dual optimisation. We are going to release some of it as BSD pretty
> soon. I believe we will also implement a path algorithm, but I am not
> sure whether it will be a lars or the new Friedman toy.
>
>> I think lars is not too difficult, that's one of the reason I have it
>> in mind, and I have seen some applications in econometrics where the
>> forecasting performance of lars in combination with PCA was the best
>> but not lars alone.
>
> I have implemented a lars (not releasing it, as it is buggy). There are a
> few difficulties that are not outlined in the article :). I am willing to
> work with you on the lars (mostly by dumping the code to you, with the
> comments pointing to the problems). But I would advice you to wait a
> month, as we have a working sessions planned exactly for pushing code
> that solves these problems in scikit.learn.

I'm not in a hurry, I have some other pet projects (in time series
analysis) that I want to get into a usable stage first. But then I
will be glad to take you up on the offer.

I haven't looked much at the details in pymvpa, but it might be useful
to test the code.

Josef

>
> Gaël
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