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By expanding out the behaviour of the operator
, and reintroducing the time index , one loses compactness of representation, but has a clearer picture of how to program such a scheme on a computer. One has
|
(3.19) |
which involves values of the time series at three levels , , and . Rewriting (3.19) so that is isolated gives
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(3.20) |
which is a two-step recursion in the time series . This difference equation is identical in form to a two-pole digital filter under zero-input conditions.
Stefan Bilbao
2006-11-15