Mercurial > octave-antonio

annotate scripts/signal/arma_rnd.m @ 3191:e4f4b2d26ee9

Find changesets by keywords (author, files, the commit message), revision number or hash, or revset expression.
[project @ 1998-10-23 05:43:59 by jwe]
author jwe
date Fri, 23 Oct 1998 05:44:01 +0000
parents
children f8dde1807dee
Ignore whitespace changes - Everywhere: Within whitespace: At end of lines:
rev   line source
3191
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
2 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
3 ## This program is free software; you can redistribute it and/or modify
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
4 ## it under the terms of the GNU General Public License as published by
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
5 ## the Free Software Foundation; either version 2, or (at your option)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
6 ## any later version.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
7 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
8 ## This program is distributed in the hope that it will be useful, but
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
9 ## WITHOUT ANY WARRANTY; without even the implied warranty of
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
10 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
11 ## General Public License for more details.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
12 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
13 ## You should have received a copy of the GNU General Public License
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
14 ## along with this file. If not, write to the Free Software Foundation,
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
15 ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
16
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
17 ## usage: arma_rnd (a, b, v, t [, n])
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
18 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
19 ## Returns a simulation of the ARMA model
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
20 ## x(n) = a(1) * x(n-1) + ... + a(k) * x(n-k) +
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
21 ## + e(n) + b(1) * e(n-1) + ... + b(l) * e(n-l),
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
22 ## where k is the length of vector a, l is the length of vector b and e
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
23 ## is gaussian white noise with variance v. The function returns a
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
24 ## vector of length t.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
25 ##
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
26 ## The optional parameter n gives the number of dummy x(i) used for
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
27 ## initialization, i.e., a sequence of length t+n is generated and
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
28 ## x(n+1:t+n) is returned. If n is omitted, n=100 is used.
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
29
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
30 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
31 ## Description: Simulate an ARMA process
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
32
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
33 function x = arma_rnd (a, b, v, t, n)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
34
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
35 unwind_protect
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
36 orig_listelemok = empty_list_elements_ok;
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
37 empty_list_elements_ok = "true";
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
38
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
39 if (nargin == 4)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
40 n = 100;
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
41 elseif (nargin == 5)
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
42 if (!is_scalar (t))
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
43 error ("arma_rnd: n must be a scalar");
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
44 endif
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
45 else
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
46 usage ("arma_rnd (a, b, v, t [, n])");
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
47 endif
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
48
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
49 if ( (min (size (a)) > 1) || (min (size (b)) > 1) )
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
50 error ("arma_rnd: a and b must not be matrices");
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
51 endif
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
52
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
53 if (!is_scalar (t))
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
54 error ("arma_rnd: t must be a scalar");
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
55 endif
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
56
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
57 ar = length (a);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
58 br = length (b);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
59
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
60 a = reshape (a, ar, 1);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
61 b = reshape (b, br, 1);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
62
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
63 a = [1; -a]; # apply our notational convention
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
64 b = [1; b];
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
65
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
66 n = min (n, ar + br);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
67
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
68 e = sqrt (v) * randn (t + n, 1);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
69
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
70 x = filter (b, a, e);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
71 x = x(n + 1 : t + n);
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
72
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
73 unwind_protect_cleanup
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
74
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
75 empty_list_elements_ok = orig_listelemok;
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
76
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
77 end_unwind_protect
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
78
e4f4b2d26ee9 [project @ 1998-10-23 05:43:59 by jwe]
jwe
parents:
diff changeset
79 endfunction