alchemyst/ar.py

Created November 10, 2013 15:40

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Generate lagged AR data

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ar.py

	N = 1000
	h = 5

	y = numpy.random.randn(N)
	x = numpy.zeros_like(y)

	for i in range(h, len(y)):
	x[i] = x[i-1] + y[i - h]

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