On Fri, Oct 14, 2011 at 2:39 PM, Skipper Seabold <jsseab...@gmail.com> wrote: > On Fri, Oct 14, 2011 at 2:18 PM, Alan G Isaac <alan.is...@gmail.com> wrote: >> >> On 10/14/2011 1:42 PM, josef.p...@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/tsa/arima_model.py#L295 > > 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 > _______________________________________________ NumPy-Discussion mailing list NumPy-Discussion@scipy.org http://mail.scipy.org/mailman/listinfo/numpy-discussion
