14 Oct
2011
14 Oct
'11
3:24 p.m.
As a simple example, if I have y0 and a white noise series e, what is the best way to produces a series y such that y[t] = 0.9*y[t-1] + e[t] for t=1,2,...? 1. How can I best simulate an autoregressive process using NumPy? 2. With SciPy, it looks like I could do this as e[0] = y0 signal.lfilter((1,),(1,-0.9),e) Am I overlooking similar (or substitute) functionality in NumPy? Thanks, Alan Isaac