9 Feb 21:22
miso_filter
<josef.pktd <at> gmail.com>
2010-02-09 20:22:14 GMT
2010-02-09 20:22:14 GMT
In case anyone is interested: how to do a multi-input single-output
linear filter in 2 lines of code and 50 lines of tests
inp = signal.correlate(x, ma[::-1,:])[:, (x.shape[1]+1)//2]
signal.lfilter([1], ar, inp), inp
(I needed the tests to clear up a misunderstanding between me and convolve.)
details at
http://bazaar.launchpad.net/~josef-pktd/statsmodels/statsmodels-josef-experimental/annotate/head%3A/scikits/statsmodels/sandbox/regression/mle.py#L363
with application to simulating GARCH models (those are not verified yet)
Josef
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