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comparison scripts/signal/arch_rnd.m @ 7031:120f3135952f

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[project @ 2007-10-15 15:30:03 by jwe]
author jwe
date Mon, 15 Oct 2007 15:31:21 +0000
parents a1dbe9d80eee
children 7d06a404b8f9
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7030:bdcea6ede1cd 7031:120f3135952f
21 ## @deftypefn {Function File} {} arch_rnd (@var{a}, @var{b}, @var{t}) 21 ## @deftypefn {Function File} {} arch_rnd (@var{a}, @var{b}, @var{t})
22 ## Simulate an ARCH sequence of length @var{t} with AR 22 ## Simulate an ARCH sequence of length @var{t} with AR
23 ## coefficients @var{b} and CH coefficients @var{a}. I.e., the result 23 ## coefficients @var{b} and CH coefficients @var{a}. I.e., the result
24 ## @math{y(t)} follows the model 24 ## @math{y(t)} follows the model
25 ## 25 ##
26 ## @example 26 ## @smallexample
27 ## y(t) = b(1) + b(2) * y(t-1) + @dots{} + b(lb) * y(t-lb+1) + e(t), 27 ## y(t) = b(1) + b(2) * y(t-1) + @dots{} + b(lb) * y(t-lb+1) + e(t),
28 ## @end example 28 ## @end smallexample
29 ## 29 ##
30 ## @noindent 30 ## @noindent
31 ## where @math{e(t)}, given @var{y} up to time @math{t-1}, is 31 ## where @math{e(t)}, given @var{y} up to time @math{t-1}, is
32 ## @math{N(0, h(t))}, with 32 ## @math{N(0, h(t))}, with
33 ## 33 ##
34 ## @example 34 ## @smallexample
35 ## h(t) = a(1) + a(2) * e(t-1)^2 + @dots{} + a(la) * e(t-la+1)^2 35 ## h(t) = a(1) + a(2) * e(t-1)^2 + @dots{} + a(la) * e(t-la+1)^2
36 ## @end example 36 ## @end smallexample
37 ## @end deftypefn 37 ## @end deftypefn
38 38
39 ## Author: KH <Kurt.Hornik@wu-wien.ac.at> 39 ## Author: KH <Kurt.Hornik@wu-wien.ac.at>
40 ## Description: Simulate an ARCH process 40 ## Description: Simulate an ARCH process
41 41