'ddt : discrete delta t
should be the same as an AR(1)
not tested yet
# after writing this I saw the same use of lfilter in sitmo'

def exactprocess(self, xzero, nobs, ddt=1.0, nrepl=2):

    t = np.linspace(ddt, (nobs * ddt), nobs)
    expnt = np.exp(((- self.lambd) * t))
    expddt = np.exp(((- self.lambd) * ddt))
    normrvs = np.random.normal(size=(nrepl, nobs))
    from scipy import signal
    inc = ((self.mu * (1 - expddt)) + ((self.sigma * np.sqrt((((1 - (expddt * expddt)) / 2.0) / self.lambd))) * normrvs))
    return signal.lfilter([1.0], [1.0, (- expddt)], inc)
