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annotate scripts/signal/arma_rnd.m @ 9051:1bf0ce0930be
Grammar check TexInfo in all .m files
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| author | Rik <rdrider0-list@yahoo.com> |
|---|---|
| date | Fri, 27 Mar 2009 22:31:03 -0700 |
| parents | eb63fbe60fab |
| children | bd8e388043c4 |
| rev | line source |
|---|---|
| 7017 | 1 ## Copyright (C) 1995, 1996, 1997, 1998, 2000, 2002, 2003, 2005, 2006, |
| 8920 | 2 ## 2007, 2009 Friedrich Leisch |
| 3426 | 3 ## |
| 3922 | 4 ## This file is part of Octave. |
| 5 ## | |
| 6 ## Octave is free software; you can redistribute it and/or modify it | |
| 7 ## under the terms of the GNU General Public License as published by | |
| 7016 | 8 ## the Free Software Foundation; either version 3 of the License, or (at |
| 9 ## your option) any later version. | |
| 3426 | 10 ## |
| 3922 | 11 ## Octave is distributed in the hope that it will be useful, but |
| 3191 | 12 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
| 13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU | |
| 3426 | 14 ## General Public License for more details. |
| 15 ## | |
| 3191 | 16 ## You should have received a copy of the GNU General Public License |
| 7016 | 17 ## along with Octave; see the file COPYING. If not, see |
| 18 ## <http://www.gnu.org/licenses/>. | |
| 3191 | 19 |
| 3449 | 20 ## -*- texinfo -*- |
| 21 ## @deftypefn {Function File} {} arma_rnd (@var{a}, @var{b}, @var{v}, @var{t}, @var{n}) | |
| 22 ## Return a simulation of the ARMA model | |
| 23 ## | |
| 24 ## @example | |
|
9051
1bf0ce0930be
Grammar check TexInfo in all .m files
Rik <rdrider0-list@yahoo.com>
parents:
8920
diff
changeset
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25 ## @group |
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1bf0ce0930be
Grammar check TexInfo in all .m files
Rik <rdrider0-list@yahoo.com>
parents:
8920
diff
changeset
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26 ## x(n) = a(1) * x(n-1) + @dots{} + a(k) * x(n-k) |
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1bf0ce0930be
Grammar check TexInfo in all .m files
Rik <rdrider0-list@yahoo.com>
parents:
8920
diff
changeset
|
27 ## + e(n) + b(1) * e(n-1) + @dots{} + b(l) * e(n-l) |
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1bf0ce0930be
Grammar check TexInfo in all .m files
Rik <rdrider0-list@yahoo.com>
parents:
8920
diff
changeset
|
28 ## @end group |
| 3449 | 29 ## @end example |
| 3191 | 30 ## |
| 3449 | 31 ## @noindent |
| 32 ## in which @var{k} is the length of vector @var{a}, @var{l} is the | |
| 33 ## length of vector @var{b} and @var{e} is gaussian white noise with | |
| 34 ## variance @var{v}. The function returns a vector of length @var{t}. | |
| 3191 | 35 ## |
| 3449 | 36 ## The optional parameter @var{n} gives the number of dummy |
| 37 ## @var{x}(@var{i}) used for initialization, i.e., a sequence of length | |
| 38 ## @var{t}+@var{n} is generated and @var{x}(@var{n}+1:@var{t}+@var{n}) | |
| 39 ## is returned. If @var{n} is omitted, @var{n} = 100 is used. | |
| 40 ## @end deftypefn | |
| 3426 | 41 |
| 3457 | 42 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
| 43 ## Description: Simulate an ARMA process | |
| 3191 | 44 |
| 45 function x = arma_rnd (a, b, v, t, n) | |
| 46 | |
| 5568 | 47 if (nargin == 4) |
| 48 n = 100; | |
| 49 elseif (nargin == 5) | |
| 4030 | 50 if (!isscalar (t)) |
| 5568 | 51 error ("arma_rnd: n must be a scalar"); |
| 3191 | 52 endif |
| 5568 | 53 else |
| 6046 | 54 print_usage (); |
| 5568 | 55 endif |
| 3191 | 56 |
| 5568 | 57 if ((min (size (a)) > 1) || (min (size (b)) > 1)) |
| 58 error ("arma_rnd: a and b must not be matrices"); | |
| 59 endif | |
| 3426 | 60 |
| 5568 | 61 if (!isscalar (t)) |
| 62 error ("arma_rnd: t must be a scalar"); | |
| 63 endif | |
| 3426 | 64 |
| 5568 | 65 ar = length (a); |
| 66 br = length (b); | |
| 3426 | 67 |
| 5568 | 68 a = reshape (a, ar, 1); |
| 69 b = reshape (b, br, 1); | |
| 3426 | 70 |
| 8506 | 71 ## Apply our notational convention. |
| 72 a = [1; -a]; | |
| 5568 | 73 b = [1; b]; |
| 74 | |
| 75 n = min (n, ar + br); | |
| 3191 | 76 |
| 5568 | 77 e = sqrt (v) * randn (t + n, 1); |
| 78 | |
| 79 x = filter (b, a, e); | |
| 80 x = x(n + 1 : t + n); | |
| 3191 | 81 |
| 82 endfunction |