[SciPy-User] miso_filter

josef.pktd@gmai... josef.pktd@gmai...
Tue Feb 9 14:22:14 CST 2010


In case anyone is interested: how to do a multi-input single-output
linear filter in 2 lines of code and 50 lines of tests

    inp = signal.correlate(x, ma[::-1,:])[:, (x.shape[1]+1)//2]
    signal.lfilter([1], ar, inp), inp

(I needed the tests to clear up a misunderstanding between me and convolve.)

details at
http://bazaar.launchpad.net/~josef-pktd/statsmodels/statsmodels-josef-experimental/annotate/head%3A/scikits/statsmodels/sandbox/regression/mle.py#L363

with application to simulating GARCH models (those are not verified yet)

Josef


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