[Numpy-discussion] simulate AR

Skipper Seabold jsseabold@gmail....
Fri Oct 14 13:39:03 CDT 2011

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


This is me talking to myself about this.



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