A potential problem with this way of filtering epochs is that the filter concatenates the epochs together and treats each channel like a continuous signal. Due to the filter impulse response, this will lead to the propagation of information from one epoch (sample) to the next (but this also happens when you filter Raw) and can cause artifacts when there are discontinuities between the epochs. These problems could be avoided by using short FIR filters and applying them independently for each epoch.. but this will limit the frequency response of the filters we can support. An advantage would be that it would also work for the real-time epochs and the result would not depend on the order of the epochs.

@agramfort @Eric89GXL thoughts?