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On Fri, Oct 14, 2011 at 1:26 PM, Alan G Isaac <alan.isaac@gmail.com> wrote:
Assuming stationarity ...
On 10/14/2011 1:22 PM, josef.pktd@gmail.com wrote:
maybe ?
I just meant that the MA approximation is not reliable for a non-stationary AR. E.g., http://www.jstor.org/stable/2348631
section 5: simulating an ARIMA: simulate stationary ARMA, then cumsum it. I guess, this only applies to simple integrated processes, where we can split it up into ar(L)(1-L) y_t with ar(L) a stationary polynomials. (besides seasonal integration, I haven't seen or used any other non-stationary AR processes.) If I remember correctly, signal.lfilter doesn't require stationarity, but handling of the starting values is a bit difficult. Josef
Cheers, Alan
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