[Numpy-discussion] simulate AR

josef.pktd@gmai... josef.pktd@gmai...
Fri Oct 14 13:46:52 CDT 2011


On Fri, Oct 14, 2011 at 2:39 PM, Skipper Seabold <jsseabold@gmail.com> wrote:
> On Fri, Oct 14, 2011 at 2:18 PM, Alan G Isaac <alan.isaac@gmail.com> wrote:
>>
>> On 10/14/2011 1:42 PM, josef.pktd@gmail.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
>
> https://github.com/statsmodels/statsmodels/blob/master/scikits/statsmodels/tsa/arima_model.py#L295
>
> This is me talking to myself about this.
>
> http://thread.gmane.org/gmane.comp.python.scientific.user/27162/focus=27162

with two more simultaneous threads on the statsmodels mailing list. :)

Josef

>
> Skipper
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