Mercurial > hg > octave-lyh
annotate scripts/signal/arch_rnd.m @ 14868:5d3a684236b0
maint: Use Octave coding conventions for cuddling parentheses in scripts directory
* lin2mu.m, loadaudio.m, wavread.m, accumarray.m, bicubic.m, celldisp.m,
colon.m, cplxpair.m, dblquad.m, divergence.m, genvarname.m, gradient.m,
int2str.m, interp1.m, interp1q.m, interp2.m, interpn.m, loadobj.m, nthargout.m,
__isequal__.m, __splinen__.m, quadgk.m, quadl.m, quadv.m, rat.m, rot90.m,
rotdim.m, saveobj.m, subsindex.m, triplequad.m, delaunay3.m, griddata.m,
inpolygon.m, tsearchn.m, voronoi.m, get_first_help_sentence.m, which.m,
gray2ind.m, pink.m, dlmwrite.m, strread.m, textread.m, textscan.m, housh.m,
ishermitian.m, issymmetric.m, krylov.m, logm.m, null.m, rref.m,
compare_versions.m, copyfile.m, dump_prefs.m, edit.m, fileparts.m,
getappdata.m, isappdata.m, movefile.m, orderfields.m, parseparams.m,
__xzip__.m, rmappdata.m, setappdata.m, swapbytes.m, unpack.m, ver.m, fminbnd.m,
fminunc.m, fsolve.m, glpk.m, lsqnonneg.m, qp.m, sqp.m, configure_make.m,
copy_files.m, describe.m, get_description.m, get_forge_pkg.m, install.m,
installed_packages.m, is_architecture_dependent.m, load_package_dirs.m,
print_package_description.m, rebuild.m, repackage.m, save_order.m, shell.m,
allchild.m, ancestor.m, area.m, axes.m, axis.m, clabel.m, close.m, colorbar.m,
comet.m, comet3.m, contour.m, cylinder.m, ezmesh.m, ezsurf.m, findobj.m,
fplot.m, hist.m, isocolors.m, isonormals.m, isosurface.m, isprop.m, legend.m,
mesh.m, meshz.m, pareto.m, pcolor.m, peaks.m, plot3.m, plotmatrix.m, plotyy.m,
polar.m, print.m, __add_datasource__.m, __add_default_menu__.m,
__axes_limits__.m, __bar__.m, __clabel__.m, __contour__.m, __errcomm__.m,
__errplot__.m, __ezplot__.m, __file_filter__.m, __fltk_print__.m,
__ghostscript__.m, __gnuplot_print__.m, __go_draw_axes__.m,
__go_draw_figure__.m, __interp_cube__.m, __marching_cube__.m, __patch__.m,
__pie__.m, __plt__.m, __print_parse_opts__.m, __quiver__.m, __scatter__.m,
__stem__.m, __tight_eps_bbox__.m, __uigetdir_fltk__.m, __uigetfile_fltk__.m,
__uiputfile_fltk__.m, quiver.m, quiver3.m, rectangle.m, refreshdata.m,
ribbon.m, scatter.m, semilogy.m, shading.m, slice.m, subplot.m, surface.m,
surfl.m, surfnorm.m, text.m, uigetfile.m, uiputfile.m, whitebg.m, deconv.m,
mkpp.m, pchip.m, polyaffine.m, polyder.m, polygcd.m, polyout.m, polyval.m,
ppint.m, ppjumps.m, ppval.m, residue.m, roots.m, spline.m, splinefit.m,
addpref.m, getpref.m, setpref.m, ismember.m, setxor.m, arch_fit.m, arch_rnd.m,
arch_test.m, autoreg_matrix.m, diffpara.m, fftconv.m, filter2.m, hanning.m,
hurst.m, periodogram.m, triangle_sw.m, sinc.m, spectral_xdf.m, spencer.m,
stft.m, synthesis.m, unwrap.m, yulewalker.m, bicgstab.m, gmres.m, pcg.m, pcr.m,
__sprand_impl__.m, speye.m, spfun.m, sprandn.m, spstats.m, svds.m,
treelayout.m, treeplot.m, bessel.m, factor.m, legendre.m, perms.m, primes.m,
magic.m, toeplitz.m, corr.m, cov.m, mean.m, median.m, mode.m, qqplot.m,
quantile.m, ranks.m, zscore.m, logistic_regression_likelihood.m,
bartlett_test.m, chisquare_test_homogeneity.m, chisquare_test_independence.m,
kolmogorov_smirnov_test.m, run_test.m, u_test.m, wilcoxon_test.m, z_test.m,
z_test_2.m, bin2dec.m, dec2base.m, mat2str.m, strcat.m, strchr.m, strjust.m,
strtok.m, substr.m, untabify.m, assert.m, demo.m, example.m, fail.m, speed.m,
test.m, now.m: Use Octave coding conventions for cuddling parentheses in
scripts directory.
author | Rik <octave@nomad.inbox5.com> |
---|---|
date | Tue, 17 Jul 2012 07:08:39 -0700 |
parents | 72c96de7a403 |
children | 1c89599167a6 |
rev | line source |
---|---|
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1 ## Copyright (C) 1995-2012 Kurt Hornik |
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 -*- |
3500 | 20 ## @deftypefn {Function File} {} arch_rnd (@var{a}, @var{b}, @var{t}) |
21 ## Simulate an ARCH sequence of length @var{t} with AR | |
3449 | 22 ## coefficients @var{b} and CH coefficients @var{a}. I.e., the result |
3500 | 23 ## @math{y(t)} follows the model |
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24 ## @c Set example in small font to prevent overfull line |
3191 | 25 ## |
7031 | 26 ## @smallexample |
3499 | 27 ## y(t) = b(1) + b(2) * y(t-1) + @dots{} + b(lb) * y(t-lb+1) + e(t), |
7031 | 28 ## @end smallexample |
3449 | 29 ## |
30 ## @noindent | |
3499 | 31 ## where @math{e(t)}, given @var{y} up to time @math{t-1}, is |
32 ## @math{N(0, h(t))}, with | |
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33 ## @c Set example in small font to prevent overfull line |
3449 | 34 ## |
7031 | 35 ## @smallexample |
3499 | 36 ## h(t) = a(1) + a(2) * e(t-1)^2 + @dots{} + a(la) * e(t-la+1)^2 |
7031 | 37 ## @end smallexample |
3449 | 38 ## @end deftypefn |
3191 | 39 |
5428 | 40 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> |
3457 | 41 ## Description: Simulate an ARCH process |
3191 | 42 |
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43 function y = arch_rnd (a, b, t) |
3426 | 44 |
3191 | 45 if (nargin != 3) |
6046 | 46 print_usage (); |
3191 | 47 endif |
3426 | 48 |
3457 | 49 if (! ((min (size (a)) == 1) && (min (size (b)) == 1))) |
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50 error ("arch_rnd: A and B must both be scalars or vectors"); |
3191 | 51 endif |
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Rik <octave@nomad.inbox5.com>
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52 if (! (isscalar (t) && (t > 0) && (rem (t, 1) == 0))) |
3457 | 53 error ("arch_rnd: T must be a positive integer"); |
3191 | 54 endif |
3426 | 55 |
3457 | 56 if (! (a(1) > 0)) |
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Rik <octave@nomad.inbox5.com>
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57 error ("arch_rnd: A(1) must be positive"); |
3191 | 58 endif |
59 ## perhaps add a test for the roots of a(z) here ... | |
3426 | 60 |
3191 | 61 la = length (a); |
62 a = reshape (a, 1, la); | |
63 if (la == 1) | |
64 a = [a, 0]; | |
65 la = la + 1; | |
66 endif | |
7436 | 67 |
3191 | 68 lb = length (b); |
69 b = reshape (b, 1, lb); | |
70 if (lb == 1) | |
71 b = [b, 0]; | |
72 lb = lb + 1; | |
73 endif | |
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parents:
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74 m = max ([la, lb]); |
3426 | 75 |
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76 e = zeros (t, 1); |
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77 h = zeros (t, 1); |
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78 y = zeros (t, 1); |
3426 | 79 |
3191 | 80 h(1) = a(1); |
81 e(1) = sqrt (h(1)) * randn; | |
82 y(1) = b(1) + e(1); | |
3426 | 83 |
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84 for t = 2:m |
3238 | 85 ta = min ([t, la]); |
7436 | 86 h(t) = a(1) + a(2:ta) * e(t-ta+1:t-1).^2; |
3191 | 87 e(t) = sqrt (h(t)) * randn; |
3238 | 88 tb = min ([t, lb]); |
7436 | 89 y(t) = b(1) + b(2:tb) * y(t-tb+1:t-1) + e(t); |
3191 | 90 endfor |
7436 | 91 |
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92 if (t > m) |
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93 for t = m+1:t |
7436 | 94 h(t) = a(1) + a(2:la) * e(t-la+1:t-1).^2; |
3191 | 95 e(t) = sqrt (h(t)) * randn; |
7436 | 96 y(t) = b(1) + b(2:lb) * y(t-tb+1:t-1) + e(t); |
3191 | 97 endfor |
98 endif | |
3426 | 99 |
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parents:
10846
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100 y = y(1:t); |
3426 | 101 |
3191 | 102 endfunction |