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armac Scilab Group Scilab Function armac
NAME
armac - Scilab description of an armax process
CALLING SEQUENCE
[ar]=armac(a,b,d,ny,nu,sig)
PARAMETERS
a=[Id,a1,..,a_r] : is a matrix of size (ny,r*ny)
b=[b0,.....,b_s] : is a matrix of size (ny,(s+1)*nu)
d=[Id,d1,..,d_p] : is a matrix of size (ny,p*ny);
ny : dimension of the output y
nu : dimension of the output u
sig : a matrix of size (ny,ny)
DESCRIPTION
This function creates a description as a tlist of an ARMAX process
A(z^-1)y= B(z^-1)u + D(z^-1)sig*e(t)
ar is defined by
ar=tlist(['ar','a','b','d','ny','nu','sig'],a,b,d,ny,nu,sig);
and thus the coefficients of ar can be retrieved by e.g. ar('a') .
EXAMPLE
a=[1,-2.851,2.717,-0.865].*.eye(2,2)
b=[0,1,1,1].*.[1;1];
d=[1,0.7,0.2].*.eye(2,2);
sig=eye(2,2);
ar=armac(a,b,d,2,1,sig)
// extract polynomial matrices from ar representation
[A,B,D]=arma2p(ar);
SEE ALSO
arma, armax, armax1, arsimul, arma2p, tlist.
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