[Numpy-discussion] simulate AR

josef.pktd@gmai... josef.pktd@gmai...
Fri Oct 14 12:42:18 CDT 2011


On Fri, Oct 14, 2011 at 1:26 PM, Alan G Isaac <alan.isaac@gmail.com> wrote:
>>> Assuming stationarity ...
>
> On 10/14/2011 1:22 PM, josef.pktd@gmail.com wrote:
>> maybe ?
>
> I just meant that the MA approximation is
> not reliable for a non-stationary AR.
> E.g., http://www.jstor.org/stable/2348631

section 5: simulating an ARIMA: simulate stationary ARMA, then cumsum it.

I guess, this only applies to simple integrated processes, where we
can split it up into ar(L)(1-L) y_t with ar(L) a stationary
polynomials.
(besides seasonal integration, I haven't seen or used any other
non-stationary AR processes.)

If I remember correctly, signal.lfilter doesn't require stationarity,
but handling of the starting values is a bit difficult.

Josef

>
> Cheers,
> Alan
>
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