[Numpy-discussion] simulate AR

[josef.pktd at gmail.com]

On Fri, Oct 14, 2011 at 10:24 AM, Alan G Isaac <alan.isaac at gmail.com> wrote:
> 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?

I don't think so. At least I didn't find anything in numpy for this.
An MA process would be a convolution, but for simulating AR I only
found signal.lfilter. (unless numpy has gained extra features that I
don't have in 1.5)

Except, I think it's possible to do it with fft, if you want to
fft-inverse-convolve (?)
But simulating an ARMA with fft was much slower than lfilter in my
short experimentation with it.

Josef

>
> Thanks,
> Alan Isaac
>
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