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/t...
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 _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion