Mercurial > octave-nkf
view scripts/signal/arch_rnd.m @ 20266:83792dd9bcc1
Use in-place operators in m-files where possible.
* scripts/audio/@audioplayer/set.m, scripts/audio/@audiorecorder/set.m,
scripts/audio/mu2lin.m, scripts/elfun/cosd.m, scripts/general/del2.m,
scripts/general/profexplore.m, scripts/general/quadl.m, scripts/general/rat.m,
scripts/general/rotdim.m, scripts/help/get_first_help_sentence.m,
scripts/help/private/__strip_html_tags__.m, scripts/image/cubehelix.m,
scripts/io/textread.m, scripts/linear-algebra/duplication_matrix.m,
scripts/linear-algebra/housh.m, scripts/linear-algebra/krylov.m,
scripts/linear-algebra/logm.m, scripts/linear-algebra/normest.m,
scripts/linear-algebra/onenormest.m, scripts/optimization/fminsearch.m,
scripts/optimization/lsqnonneg.m, scripts/optimization/qp.m,
scripts/plot/appearance/annotation.m, scripts/plot/appearance/axis.m,
scripts/plot/appearance/legend.m, scripts/plot/appearance/specular.m,
scripts/plot/draw/colorbar.m, scripts/plot/draw/hist.m,
scripts/plot/draw/plotmatrix.m, scripts/plot/draw/private/__stem__.m,
scripts/plot/util/__actual_axis_position__.m,
scripts/plot/util/__gnuplot_drawnow__.m, scripts/plot/util/findobj.m,
scripts/plot/util/print.m, scripts/plot/util/private/__go_draw_axes__.m,
scripts/plot/util/private/__print_parse_opts__.m, scripts/plot/util/rotate.m,
scripts/polynomial/pchip.m, scripts/polynomial/polyaffine.m,
scripts/polynomial/polyder.m, scripts/polynomial/private/__splinefit__.m,
scripts/polynomial/residue.m, scripts/signal/arch_fit.m,
scripts/signal/arch_rnd.m, scripts/signal/bartlett.m,
scripts/signal/blackman.m, scripts/signal/freqz.m, scripts/signal/hamming.m,
scripts/signal/hanning.m, scripts/signal/spectral_adf.m,
scripts/signal/spectral_xdf.m, scripts/signal/stft.m,
scripts/sparse/bicgstab.m, scripts/sparse/cgs.m,
scripts/sparse/private/__sprand_impl__.m, scripts/sparse/qmr.m,
scripts/sparse/sprandsym.m, scripts/sparse/svds.m, scripts/specfun/legendre.m,
scripts/special-matrix/gallery.m, scripts/statistics/base/gls.m,
scripts/statistics/models/logistic_regression.m,
scripts/statistics/tests/kruskal_wallis_test.m,
scripts/statistics/tests/manova.m, scripts/statistics/tests/wilcoxon_test.m,
scripts/time/datevec.m:
Use in-place operators in m-files where possible.
author | Rik <rik@octave.org> |
---|---|
date | Tue, 26 May 2015 21:07:42 -0700 |
parents | f1d0f506ee78 |
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 += 1; endif lb = length (b); b = reshape (b, 1, lb); if (lb == 1) b = [b, 0]; 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