[Numpy-discussion] simulate AR

Alan G Isaac alan.isaac@gmail....
Fri Oct 14 09:24:59 CDT 2011


As a simple example, if I have y0 and a white noise series e,
what is the best way to produces a series y such that y[t] = 0.9*y[t-1] + e[t]
for t=1,2,...?

1. How can I best simulate an autoregressive process using NumPy?

2. With SciPy, it looks like I could do this as
e[0] = y0
signal.lfilter((1,),(1,-0.9),e)
Am I overlooking similar (or substitute) functionality in NumPy?

Thanks,
Alan Isaac



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