Mercurial > octave-antonio
annotate scripts/signal/arma_rnd.m @ 17744:d63878346099
maint: Update copyright notices for release.
| author | John W. Eaton <jwe@octave.org> |
|---|---|
| date | Wed, 23 Oct 2013 22:09:27 -0400 |
| parents | 1c89599167a6 |
| children | 4197fc428c7d |
| rev | line source |
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maint: Update copyright notices for release.
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1 ## Copyright (C) 1995-2013 Friedrich Leisch |
| 3426 | 2 ## |
| 3922 | 3 ## This file is part of Octave. |
| 4 ## | |
| 5 ## Octave is free software; you can redistribute it and/or modify it | |
| 6 ## under the terms of the GNU General Public License as published by | |
| 7016 | 7 ## the Free Software Foundation; either version 3 of the License, or (at |
| 8 ## your option) any later version. | |
| 3426 | 9 ## |
| 3922 | 10 ## Octave is distributed in the hope that it will be useful, but |
| 3191 | 11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 13 ## General Public License for more details. |
| 14 ## | |
| 3191 | 15 ## You should have received a copy of the GNU General Public License |
| 7016 | 16 ## along with Octave; see the file COPYING. If not, see |
| 17 ## <http://www.gnu.org/licenses/>. | |
| 3191 | 18 |
| 3449 | 19 ## -*- texinfo -*- |
| 20 ## @deftypefn {Function File} {} arma_rnd (@var{a}, @var{b}, @var{v}, @var{t}, @var{n}) | |
| 21 ## Return a simulation of the ARMA model | |
| 22 ## | |
| 23 ## @example | |
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24 ## @group |
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25 ## x(n) = a(1) * x(n-1) + @dots{} + a(k) * x(n-k) |
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26 ## + e(n) + b(1) * e(n-1) + @dots{} + b(l) * e(n-l) |
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27 ## @end group |
| 3449 | 28 ## @end example |
| 3191 | 29 ## |
| 3449 | 30 ## @noindent |
| 31 ## in which @var{k} is the length of vector @var{a}, @var{l} is the | |
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32 ## length of vector @var{b} and @var{e} is Gaussian white noise with |
| 3449 | 33 ## variance @var{v}. The function returns a vector of length @var{t}. |
| 3191 | 34 ## |
| 3449 | 35 ## The optional parameter @var{n} gives the number of dummy |
| 36 ## @var{x}(@var{i}) used for initialization, i.e., a sequence of length | |
| 37 ## @var{t}+@var{n} is generated and @var{x}(@var{n}+1:@var{t}+@var{n}) | |
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38 ## is returned. If @var{n} is omitted, @var{n} = 100 is used. |
| 3449 | 39 ## @end deftypefn |
| 3426 | 40 |
| 3457 | 41 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 42 ## Description: Simulate an ARMA process | |
| 3191 | 43 |
| 44 function x = arma_rnd (a, b, v, t, n) | |
| 45 | |
| 5568 | 46 if (nargin == 4) |
| 47 n = 100; | |
| 48 elseif (nargin == 5) | |
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49 if (!isscalar (n)) |
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50 error ("arma_rnd: N must be a scalar"); |
| 3191 | 51 endif |
| 5568 | 52 else |
| 6046 | 53 print_usage (); |
| 5568 | 54 endif |
| 3191 | 55 |
| 5568 | 56 if ((min (size (a)) > 1) || (min (size (b)) > 1)) |
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57 error ("arma_rnd: A and B must not be matrices"); |
| 5568 | 58 endif |
| 3426 | 59 |
| 5568 | 60 if (!isscalar (t)) |
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61 error ("arma_rnd: T must be a scalar"); |
| 5568 | 62 endif |
| 3426 | 63 |
| 5568 | 64 ar = length (a); |
| 65 br = length (b); | |
| 3426 | 66 |
| 5568 | 67 a = reshape (a, ar, 1); |
| 68 b = reshape (b, br, 1); | |
| 3426 | 69 |
| 8506 | 70 ## Apply our notational convention. |
| 71 a = [1; -a]; | |
| 5568 | 72 b = [1; b]; |
| 73 | |
| 74 n = min (n, ar + br); | |
| 3191 | 75 |
| 5568 | 76 e = sqrt (v) * randn (t + n, 1); |
| 77 | |
| 78 x = filter (b, a, e); | |
| 79 x = x(n + 1 : t + n); | |
| 3191 | 80 |
| 81 endfunction | |
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82 |