Mercurial > hg > octave-lyh
diff scripts/signal/arch_rnd.m @ 3426:f8dde1807dee
[project @ 2000-01-13 08:40:00 by jwe]
author | jwe |
---|---|
date | Thu, 13 Jan 2000 08:40:53 +0000 |
parents | 041ea33fbbf4 |
children | 858695b3ed62 |
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--- a/scripts/signal/arch_rnd.m +++ b/scripts/signal/arch_rnd.m @@ -1,20 +1,20 @@ ## Copyright (C) 1995, 1996, 1997 Kurt Hornik -## +## ## 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. -## +## 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: y = arch_rnd (a, b, T) +## usage: y = arch_rnd (a, b, T) ## ## Simulates an ARCH sequence y of length T with AR coefficients b and ## CH coefficients a. @@ -27,23 +27,23 @@ ## Description: Simulate an ARCH process function y = arch_rnd (a, b, T) - + if (nargin != 3) usage ("arch_rnd (a, b, T)"); endif - + if !( (min (size (a)) == 1) && (min (size (b)) == 1) ) error ("arch_rnd: a and b must both be scalars or vectors"); endif if !( is_scalar (T) && (T > 0) && (rem (T, 1) == 0) ) error ("arch_rnd: T must be a positive integer"); endif - + if !(a(1) > 0) error ("arch_rnd: a(1) must be positive"); endif ## perhaps add a test for the roots of a(z) here ... - + la = length (a); a = reshape (a, 1, la); if (la == 1) @@ -57,15 +57,15 @@ lb = lb + 1; endif M = max([la, lb]); - + e = zeros (T, 1); h = zeros (T, 1); y = zeros (T, 1); - + h(1) = a(1); e(1) = sqrt (h(1)) * randn; y(1) = b(1) + e(1); - + for t= 2 : M; ta = min ([t, la]); h(t) = a(1) + a(2:ta) * e(t-1:t-ta+1).^2; @@ -80,8 +80,7 @@ y(t) = b(1) + b(2:lb) * y(t-1:t-tb+1) + e(t); endfor endif - + y = y(1:T); - + endfunction - \ No newline at end of file