statsmodels.sandbox.tsa.fftarma.ArmaFft.filter¶

ArmaFft.filter(x)[ソース]¶

filter a timeseries with the ARMA filter

padding with zero is missing, in example I needed the padding to get initial conditions identical to direct filter

Initial filtered observations differ from filter2 and signal.lfilter, but at end they are the same.

参考

tsa.filters.fftconvolve