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:
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).