[Numpy-discussion] simulate AR
Fri Oct 14 13:39:03 CDT 2011
On Fri, Oct 14, 2011 at 2:18 PM, Alan G Isaac <email@example.com> wrote:
> On 10/14/2011 1:42 PM, firstname.lastname@example.org wrote:
> > If I remember correctly, signal.lfilter doesn't require stationarity,
> > but handling of the starting values is a bit difficult.
> Hmm. Yes.
> AR(1) is trivial, but how do you handle higher orders?
Not sure if this is what you're after, but here I go the other way
signal -> noise with known initial values of an ARMA(p,q) process.
Here I want to set it such that the first p error terms are zero, I
had to solve for the zi that make this so
This is me talking to myself about this.
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