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+## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
+## 
+## This program 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 2, or (at your option)
+## any later version.
+## 
+## This program 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 this file.  If not, write to the Free Software Foundation,
+## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
+
+## usage:  arma_rnd (a, b, v, t [, n])
+##
+## Returns a simulation of the ARMA model
+##   x(n) = a(1) * x(n-1) + ... + a(k) * x(n-k) +
+##              + e(n) + b(1) * e(n-1) + ... + b(l) * e(n-l),
+## where k is the length of vector a, l is the length of vector b and e
+## is gaussian white noise with variance v.  The function returns a
+## vector of length t.
+##
+## The optional parameter n gives the number of dummy x(i) used for
+## initialization, i.e., a sequence of length t+n is generated and
+## x(n+1:t+n) is returned.  If n is omitted, n=100 is used. 
+  
+## Author:  FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description:  Simulate an ARMA process
+
+function x = arma_rnd (a, b, v, t, n)
+
+  unwind_protect
+    orig_listelemok = empty_list_elements_ok;
+    empty_list_elements_ok = "true";
+  
+    if (nargin == 4)
+      n = 100;
+    elseif (nargin == 5)
+      if (!is_scalar (t))
+      	error ("arma_rnd: n must be a scalar");
+      endif
+    else
+      usage ("arma_rnd (a, b, v, t [, n])");
+    endif
+
+    if ( (min (size (a)) > 1) || (min (size (b)) > 1) )
+      error ("arma_rnd:  a and b must not be matrices");
+    endif
+  
+    if (!is_scalar (t))
+      error ("arma_rnd:  t must be a scalar");
+    endif
+  
+    ar = length (a);
+    br = length (b);
+
+    a = reshape (a, ar, 1);
+    b = reshape (b, br, 1);
+  
+    a = [1; -a];			# apply our notational convention
+    b = [1; b];
+    
+    n = min (n, ar + br);
+    
+    e = sqrt (v) * randn (t + n, 1);
+  
+    x = filter (b, a, e);
+    x = x(n + 1 : t + n);
+
+  unwind_protect_cleanup
+    
+    empty_list_elements_ok = orig_listelemok;
+    
+  end_unwind_protect
+
+endfunction