Mercurial > hg > octave-lyh
diff scripts/signal/arch_rnd.m @ 3449:858695b3ed62
[project @ 2000-01-18 04:08:59 by jwe]
author | jwe |
---|---|
date | Tue, 18 Jan 2000 04:09:14 +0000 |
parents | f8dde1807dee |
children | e031284eea27 |
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--- a/scripts/signal/arch_rnd.m +++ b/scripts/signal/arch_rnd.m @@ -14,14 +14,24 @@ ## along with this file. If not, write to the Free Software Foundation, ## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA. -## usage: y = arch_rnd (a, b, T) +## -*- texinfo -*- +## @deftypefn {Function File} {@var{y} =} arch_rnd (@var{a}, @var{b}, @var{t}) +## Simulate an ARCH sequence, @var{y}, of length @var{t} with AR +## coefficients @var{b} and CH coefficients @var{a}. I.e., the result +## follows the model ## -## Simulates an ARCH sequence y of length T with AR coefficients b and -## CH coefficients a. -## I.e., y follows the model -## y(t) = b(1) + b(2) * y(t-1) + ... + b(lb) * y(t-lb+1) + e(t), -## where e(t), given y up to time t-1, is N(0, h(t)), with -## h(t) = a(1) + a(2) * e(t-1)^2 + ... + a(la) * e(t-la+1)^2. +## @example +## y(t) = b(1) + b(2) * y(t-1) + ... + b(lb) * y(t-lb+1) + e(t), +## @end example +## +## @noindent +## where e(t), given @var{y} up to time @var{t}-1, is @var{N}(0, +## @var{h}(@var{t})), with +## +## @example +## h(t) = a(1) + a(2) * e(t-1)^2 + ... + a(la) * e(t-la+1)^2 +## @end example +## @end deftypefn ## Author: KH <Kurt.Hornik@ci.tuwien.ac.at> ## Description: Simulate an ARCH process