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arma_rnd

PURPOSE ^

% Return a simulation of the ARMA model

SYNOPSIS ^

function x = arma_rnd (a, b, v, t, n)

DESCRIPTION ^

% -*- texinfo -*-
% @deftypefn {Function File} {} arma_rnd (@var{a}, @var{b}, @var{v}, @var{t}, @var{n})
% Return a simulation of the ARMA model
%
% @example
% @group
% x(n) = a(1) * x(n-1) + @dots{} + a(k) * x(n-k)
%      + e(n) + b(1) * e(n-1) + @dots{} + b(l) * e(n-l)
% @end group
% @end example
%
% @noindent
% in which @var{k} is the length of vector @var{a}, @var{l} is the
% length of vector @var{b} and @var{e} is Gaussian white noise with
% variance @var{v}.  The function returns a vector of length @var{t}.
%
% The optional parameter @var{n} gives the number of dummy
% @var{x}(@var{i}) used for initialization, i.e., a sequence of length
% @var{t}+@var{n} is generated and @var{x}(@var{n}+1:@var{t}+@var{n})
% is returned.  If @var{n} is omitted, @var{n} = 100 is used. 
% @end deftypefn

CROSS-REFERENCE INFORMATION ^

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