arma_rnd

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