In this documentation there is a mention that "due to the conventions used in signal processing used in signal.lfilter vs. conventions in statistics for ARMA processes, the AR paramters should have the opposite sign of what you might expect". And the following example is given:
>>> arparams = np.array([.75, -.25]) >>> maparams = np.array([.65, .35]) >>> ar = np.r_[1, -ar] # add zero-lag and negate >>> ma = np.r_[1, ma] # add zero-lag
My questions are:
Which convention in signal processing/ Statistics mandate negation of AR params. I dont't think there is any such convention in statistics.
If the params are to be negated, why is the zero lag param (=1) not negated?