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Statistics and Data Analysis in Python with pandas and statsmodels Wes McKinney @wesmckinn NYC Open Statistical Programming Meetup 9/14/2011Thursday, September 15,
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Talk Overview • Statistical Computing Big Picture • Scientiﬁc Python Stack • pandas • statsmodels • Ideas for the (near) futureThursday, September 15,
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Who am I? MIT Math AQR: Quant Finance Back to NYC StatisticsThursday, September 15,
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The Big Picture • Building the “next generation” statistical computing environment • Making data analysis / statistics more intuitive, ﬂexible, powerful • Closing the “research-production” gapThursday, September 15,
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Application areas • General data munging, manipulation • Financial modeling and analytics • Statistical modeling and econometrics • “Enterprise” / “Big Data” analytics?Thursday, September 15,
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R, the solution? Hadley Wickham (ggplot2, plyr, reshape, ...) “R is the most powerful statistical computing language on the planet”Thursday, September 15,
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R, the solution? Ross Ihaka (One of creators of R) “I have been worried for some time that R isn’t going to provide the base that we’re going to need for statistical computation in the future. (It may well be that the future is already upon us.) ... I have come to the conclusion that rather than ‘ﬁxing’ R, it would be much more productive to simply start over and build something better”Thursday, September 15,
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Some of my gripes about R • Wonky, highly idiosyncratic programming language* • Poor speed and memory usage • General purpose libraries and software development tools lacking • The GPL * But yes, really great librariesThursday, September 15,
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R: great libraries and deep connections to academia Example R superstars Jeff Ryan Hadley Wickham xts, quantmod ggplot2, plyr, reshapeThursday, September 15,
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Uniting against common enemiesThursday, September 15,
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“Research-Production” Gap • Best data analysis / statistics tools: often least well-suited for building production systems • The “Black Box”: embedding or RPC • High productivity <=> Low productivityThursday, September 15,
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“Research-Production” Gap • Production: much more than crunching data and making pretty plots • Code readability, debuggability, maintainability matter a lot in the long run • Integration with other systemsThursday, September 15,
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“Research-Production” GapThursday, September 15,
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My assertion Python is the best (only?) viable solution to the Research-Production gapThursday, September 15,
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Scientiﬁc Python Stack • Incredible growth in libraries and tools over the last 5 years • NumPy: the cornerstone • Killer app: IPython • Cython: C speedups, 80+% less dev time • Other exciting high-proﬁle projects: scikit- learn, theano, sympyThursday, September 15,
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Uniting the Python Community • Fragmentation is a (big) problem / risk • Statistical libraries need to be able to talk to each other easily • R’s success: S-Plus legacy + quality CRAN packages built around cohesive base R / data structuresThursday, September 15,
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pandas • Foundational rich data structures and data analysis tools • Arrays with labeled axes and support for heterogeneous data • Similar to R data.frame, but with many more built-in features • Missing data, time series supportThursday, September 15,
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pandas • Milestone: 0.4 release 9/12/2011 • Dozens of new features and enhancements • Completely rewritten docs: pandas.sf.net • Many more new features planned for the futureThursday, September 15,
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pandas: some key features • Automatic and explicit data alignment • Label-based (inc hierarchical) indexing • GroupBy, pivoting, and reshaping • Missing data support • Time series functionalityThursday, September 15,
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statsmodels • Statistics and econometrics in Python • Focused on estimation of statistical models • Regression models (GLS, Robust LM, ...) • Time series models (AR/ARMA,VAR, Kalman Filter, ...) • Non-parametric models (e.g. KDE)Thursday, September 15,
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statsmodels • Development has been largely focused on computation • Correct, tested results • In progress: better user interface • Formula frameworks (e.g. similar to R) • pandas integrationThursday, September 15,
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Ideas for the future • ggpy: ggplot2 for Python • Statistical Python Distribution / Umbrella project • Interactive GUI widgets to visualize / explore data and statsmodels resultsThursday, September 15,