statsmodels.tsa.filters.filtertools.miso_lfilter

statsmodels.tsa.filters.filtertools.miso_lfilter(ar, ma, x, useic=False)[source]

Filter multiple time series into a single time series.

Uses a convolution to merge inputs, and then lfilter to produce output.

Parameters:
ararray_like

The coefficients of autoregressive lag polynomial including lag zero, ar(L) in the expression ar(L)y_t.

maarray_like, same ndim as x, currently 2d

The coefficient of the moving average lag polynomial, ma(L) in ma(L)x_t.

xarray_like

The 2-d input data series, time in rows, variables in columns.

useicbool

Flag indicating whether to use initial conditions.

Returns:
yndarray

The filtered output series.

inpndarray, 1d

The combined input series.

Notes

currently for 2d inputs only, no choice of axis Use of signal.lfilter requires that ar lag polynomial contains floating point numbers does not cut off invalid starting and final values

miso_lfilter find array y such that:

ar(L)y_t = ma(L)x_t

with shapes y (nobs,), x (nobs, nvars), ar (narlags,), and ma (narlags, nvars).


Last update: Feb 14, 2024