[Numpy-discussion] simulate AR
Fri Oct 14 13:46:52 CDT 2011
On Fri, Oct 14, 2011 at 2:39 PM, Skipper Seabold <email@example.com> wrote:
> On Fri, Oct 14, 2011 at 2:18 PM, Alan G Isaac <firstname.lastname@example.org> wrote:
>> On 10/14/2011 1:42 PM, email@example.com 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.
with two more simultaneous threads on the statsmodels mailing list. :)
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