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I am looking for a good python api for timeseries models such as ARIMA. Please list some well tested apis and few more advance models possible for financial time-series analysis.

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Statsmodels:

Statsmodels is your best bet for a python library that includes ARIMA. I have used it fairly extensively and am quite happy with it. But, its certainly not as well tested as R based ARIMA models.

R:

If you want something "well-tested" then your best bet is likely to use Rpy2 to call an R based ARIMA library from python. Rpy2 can be a bit tricky based on version reconciliation between python, R and Rpy2.

Here's a turorial on calling R from python using Rpy2

Hope this helps!

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  • $\begingroup$ It was really helpful. $\endgroup$ – Pranav Waila Jan 18 '16 at 8:34

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