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.TH arsimul 1 "April 1993" "Scilab Group" "Scilab Function"
.so ../sci.an
.SH NAME
arsimul - armax simulation
.SH CALLING SEQUENCE
.nf
[z]=arsimul(a,b,d,sig,u,[up,yp,ep])
[z]=arsimul(ar,u,[up,yp,ep])
.fi
.SH PARAMETERS
.TP 10
ar
: an armax process. See armac.
.TP
a
: is the matrix[Id,a1,...,a_r] of dimension (n,(r+1)*n)
.TP
b
: is the matrix[b0,......,b_s] of dimension (n,(s+1)*m)
.TP
d
: is the matrix[Id,d_1,......,d_t] of dimension (n,(t+1)*n)
.TP
u
: is a matrix (m,N), which gives the entry u(:,j)=u_j
.TP
sig
: is a (n,n) matrix e_{k} is an n-dimensional Gaussian process with variance I
.TP
up, yp
: optional parameter which describe the past.
up=[ u_0,u_{-1},...,u_{s-1}];
yp=[ y_0,y_{-1},...,y_{r-1}];
ep=[ e_0,e_{-1},...,e_{r-1}];
if they are omitted, the past value are supposed to be zero
.TP
z
: z=[ y(1),....,y(N)]
.SH DESCRIPTION
simulation of an n-dimensional armax process
A(z^-1) z(k)= B(z^-1)u(k) + D(z^-1)*sig*e(k)
A(z)= Id+a1*z+...+a_r*z^r; ( r=0 => A(z)=Id)
B(z)= b0+b1*z+...+b_s z^s; ( s=-1 => B(z)=[])
D(z)= Id+d1*z+...+d_t z^t; ( t=0 => D(z)=Id)
z et e are in R^n et u in R^m
.SH METHOD
a state-space representation is constructed and ode with the option
"discr" is used to compute z
.SH AUTHOR
J-Ph.C.
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