[SciPy-User] How to calculate Yulewalk with scipy.optimize.leastsq
Tue Jan 17 12:32:44 CST 2012
klo uo wrote:
> On Mon, Jan 16, 2012 at 11:56 PM, <firstname.lastname@example.org> wrote:
>> I have no idea about whether or how it can be used for filter design?
>> For estimation of the filter from data, the Yule Walker equations can only
>> estimate a autoregressive process, not an IIR filter (ARMA process).
Many years ago I played around with using YuleWalker as a digital filter design
technique. There, I added white noise to the model (adding to the diagonal
terms of the correlation matrix), and by varying the amount of noise, you could
vary the filter characteristics.
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