Help files and functions

1 files changed, 52 insertions, 0 deletions

diff --git a/macros/arma_rnd.sci b/macros/arma_rnd.sci
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+function res = arma_rnd (a, b, v, t, n)
+//Return a simulation of the ARMA model.
+//Calling Sequence
+//arma_rnd (a, b, v, t, n)
+//arma_rnd (a, b, v, t)
+//Parameters 
+//a: vector
+//b: vector
+//v: Variance
+//t: Length of output vector
+//n: Number of dummy x(i) used for initialization
+//Description
+//This is an Octave function.
+//The ARMA model is defined by
+//
+//x(n) = a(1) * x(n-1) + … + a(k) * x(n-k)
+//     + e(n) + b(1) * e(n-1) + … + b(l) * e(n-l)
+//in which 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.
+//Examples
+//a = [1 2 3 4 5];
+//b = [7; 8; 9; 10; 11];
+//v = 10;
+//t = 5;
+//n = 100;
+//arma_rnd (a, b, v, t, n)
+//ans =
+//
+//  -1.6176e+05
+//  -4.1663e+05
+//  -1.0732e+06
+//  -2.7648e+06
+//  -7.1221e+06
+
+funcprot(0);
+lhs = argn(1)
+rhs = argn(2)
+if (rhs < 5 | rhs > 6)
+error("Wrong number of input arguments.")
+end
+
+select(rhs)
+	
+	case 5 then
+	res = callOctave("arma_rnd",a, b, v, t)
+
+	case 6 then
+	res = callOctave("arma_rnd",a, b, v, t, n)
+
+	end
+endfunction