1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
|
## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
##
## This program is free software; you can redistribute it and/or modify
## it under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
## This program is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with this file. If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
## usage: arma_rnd (a, b, v, t [, n])
##
## Returns a simulation of the ARMA model
## x(n) = a(1) * x(n-1) + ... + a(k) * x(n-k) +
## + e(n) + b(1) * e(n-1) + ... + b(l) * e(n-l),
## where k is the length of vector a, l is the length of vector b and e
## is gaussian white noise with variance v. The function returns a
## vector of length t.
##
## The optional parameter n gives the number of dummy x(i) used for
## initialization, i.e., a sequence of length t+n is generated and
## x(n+1:t+n) is returned. If n is omitted, n=100 is used.
## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
## Description: Simulate an ARMA process
function x = arma_rnd (a, b, v, t, n)
unwind_protect
orig_listelemok = empty_list_elements_ok;
empty_list_elements_ok = "true";
if (nargin == 4)
n = 100;
elseif (nargin == 5)
if (!is_scalar (t))
error ("arma_rnd: n must be a scalar");
endif
else
usage ("arma_rnd (a, b, v, t [, n])");
endif
if ( (min (size (a)) > 1) || (min (size (b)) > 1) )
error ("arma_rnd: a and b must not be matrices");
endif
if (!is_scalar (t))
error ("arma_rnd: t must be a scalar");
endif
ar = length (a);
br = length (b);
a = reshape (a, ar, 1);
b = reshape (b, br, 1);
a = [1; -a]; # apply our notational convention
b = [1; b];
n = min (n, ar + br);
e = sqrt (v) * randn (t + n, 1);
x = filter (b, a, e);
x = x(n + 1 : t + n);
unwind_protect_cleanup
empty_list_elements_ok = orig_listelemok;
end_unwind_protect
endfunction
|
