Overlap-Add filter in Python (using numpy)
This small function implements a (real-valued) FFT-based overlap-add linear finite impulse response filter. It should behave similarly to scipy.signal.lfilter, but is generally much faster. See the Jupyter notebook for a timing test; on an ancient (Core2Duo) Mac Mini (using Anaconda Python 3.5) lfilter took 809 ms for a 3000 tap filter, using olafilt the same took only 60 ms. It's also generally faster than scipy.signal.fftconvolve.
See https://en.wikipedia.org/wiki/Overlap%E2%80%93add_method for a good explanation of Overlap-add compared to standard convolution.
- Allow for multidimensional signals (but filtering along one axis only)
