Mercurial > octave-antonio
view scripts/signal/arch_rnd.m @ 20165:f1d0f506ee78 stable
doc: Update more docstrings to have one sentence summary as first line.
Reviewed optimization, polynomial, signal script directories.
* scripts/optimization/fminbnd.m, scripts/optimization/fminsearch.m,
scripts/optimization/fminunc.m, scripts/optimization/fsolve.m,
scripts/optimization/fzero.m, scripts/optimization/glpk.m,
scripts/optimization/lsqnonneg.m, scripts/optimization/pqpnonneg.m,
scripts/optimization/qp.m, scripts/optimization/sqp.m,
scripts/polynomial/compan.m, scripts/polynomial/mkpp.m,
scripts/polynomial/mpoles.m, scripts/polynomial/pchip.m,
scripts/polynomial/poly.m, scripts/polynomial/polyaffine.m,
scripts/polynomial/polyder.m, scripts/polynomial/polyeig.m,
scripts/polynomial/polyfit.m, scripts/polynomial/polygcd.m,
scripts/polynomial/polyint.m, scripts/polynomial/polyout.m,
scripts/polynomial/polyval.m, scripts/polynomial/ppder.m,
scripts/polynomial/ppint.m, scripts/polynomial/ppjumps.m,
scripts/polynomial/ppval.m, scripts/polynomial/residue.m,
scripts/polynomial/roots.m, scripts/polynomial/spline.m,
scripts/polynomial/splinefit.m, scripts/polynomial/unmkpp.m,
scripts/signal/arch_fit.m, scripts/signal/arch_rnd.m,
scripts/signal/arma_rnd.m, scripts/signal/autoreg_matrix.m,
scripts/signal/bartlett.m, scripts/signal/blackman.m, scripts/signal/detrend.m,
scripts/signal/diffpara.m, scripts/signal/durbinlevinson.m,
scripts/signal/fftconv.m, scripts/signal/fftfilt.m, scripts/signal/fftshift.m,
scripts/signal/filter2.m, scripts/signal/freqz.m, scripts/signal/hamming.m,
scripts/signal/hanning.m, scripts/signal/hurst.m, scripts/signal/ifftshift.m,
scripts/signal/periodogram.m, scripts/signal/sinc.m, scripts/signal/sinetone.m,
scripts/signal/sinewave.m, scripts/signal/spectral_adf.m,
scripts/signal/spectral_xdf.m, scripts/signal/spencer.m, scripts/signal/stft.m,
scripts/signal/synthesis.m, scripts/signal/unwrap.m,
scripts/signal/yulewalker.m:
Update more docstrings to have one sentence summary as first line.
author | Rik <rik@octave.org> |
---|---|
date | Mon, 04 May 2015 21:50:57 -0700 |
parents | 9fc020886ae9 |
children |
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## Copyright (C) 1995-2015 Kurt Hornik ## ## This file is part of Octave. ## ## Octave 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 3 of the License, or (at ## your option) any later version. ## ## Octave 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 Octave; see the file COPYING. If not, see ## <http://www.gnu.org/licenses/>. ## -*- texinfo -*- ## @deftypefn {Function File} {} arch_rnd (@var{a}, @var{b}, @var{t}) ## Simulate an ARCH sequence of length @var{t} with AR coefficients @var{b} and ## CH coefficients @var{a}. ## ## The result @math{y(t)} follows the model ## @c Set example in small font to prevent overfull line ## ## @smallexample ## y(t) = b(1) + b(2) * y(t-1) + @dots{} + b(lb) * y(t-lb+1) + e(t), ## @end smallexample ## ## @noindent ## where @math{e(t)}, given @var{y} up to time @math{t-1}, is ## @math{N(0, h(t))}, with ## @c Set example in small font to prevent overfull line ## ## @smallexample ## h(t) = a(1) + a(2) * e(t-1)^2 + @dots{} + a(la) * e(t-la+1)^2 ## @end smallexample ## @end deftypefn ## Author: KH <Kurt.Hornik@wu-wien.ac.at> ## Description: Simulate an ARCH process function y = arch_rnd (a, b, t) if (nargin != 3) print_usage (); endif if (! ((min (size (a)) == 1) && (min (size (b)) == 1))) error ("arch_rnd: A and B must both be scalars or vectors"); endif if (! (isscalar (t) && (t > 0) && (rem (t, 1) == 0))) error ("arch_rnd: T must be a positive integer"); endif if (! (a(1) > 0)) error ("arch_rnd: A(1) must be positive"); endif ## perhaps add a test for the roots of a(z) here ... la = length (a); a = reshape (a, 1, la); if (la == 1) a = [a, 0]; la = la + 1; endif lb = length (b); b = reshape (b, 1, lb); if (lb == 1) b = [b, 0]; lb = lb + 1; endif m = max ([la, lb]); e = zeros (t, 1); h = zeros (t, 1); y = zeros (t, 1); h(1) = a(1); e(1) = sqrt (h(1)) * randn; y(1) = b(1) + e(1); for t = 2:m ta = min ([t, la]); h(t) = a(1) + a(2:ta) * e(t-ta+1:t-1).^2; e(t) = sqrt (h(t)) * randn; tb = min ([t, lb]); y(t) = b(1) + b(2:tb) * y(t-tb+1:t-1) + e(t); endfor if (t > m) for t = m+1:t h(t) = a(1) + a(2:la) * e(t-la+1:t-1).^2; e(t) = sqrt (h(t)) * randn; y(t) = b(1) + b(2:lb) * y(t-tb+1:t-1) + e(t); endfor endif y = y(1:t); endfunction