ARMAFilter¶
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class ARMAFilter : public tsa::AlgoBase¶
Implement the ARMA filtering.
This class implement a general ARMA filter. Given an input sequence x(n) and an output sequence y(n) an ARMA filter is defined by the relation (look at the signs definitions..)
a(0) y(n) = a(1) y(n-1) + … + a(N) y(n-N) + b(0) x(n) + b(1) x(n-1) + …. + b(M) x(n-M)