PyFlux is an open source time series library for the Python programming language. Built upon the NumPy/SciPy/Pandas libraries, PyFlux allows for easy application of a vast array of time series methods and inference capabilities.
See some examples and documentation at PyFlux.com. Or see worked through examples in this talk given to the PyData London Meetup in June 2016.
14 June 2016 : The documentation and notebooks need to be updated (and will be updated this week).
- ARIMA models
- GARCH models
- GAS models
- GAS Regression models
- GP-NARX models
- Gaussian State Space models
- Non-Gaussian State Space models
- VAR models
- Black Box Variational Inference
- Laplace Approximation
- Maximum Likelihood and Penalized Maximum Likelihood
- Metropolis-Hastings
pip install pyflux
PyFlux is tested on Python 2.7 and 3.5.