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<?xml version="1.0" encoding="UTF-8"?>
<!--
*
* This help file was generated from arma_rnd.sci using help_from_sci().
*
-->
<refentry version="5.0-subset Scilab" xml:id="arma_rnd" xml:lang="en"
xmlns="http://docbook.org/ns/docbook"
xmlns:xlink="http://www.w3.org/1999/xlink"
xmlns:svg="http://www.w3.org/2000/svg"
xmlns:ns3="http://www.w3.org/1999/xhtml"
xmlns:mml="http://www.w3.org/1998/Math/MathML"
xmlns:scilab="http://www.scilab.org"
xmlns:db="http://docbook.org/ns/docbook">
<refnamediv>
<refname>arma_rnd</refname>
<refpurpose>Return a simulation of the ARMA model.</refpurpose>
</refnamediv>
<refsynopsisdiv>
<title>Calling Sequence</title>
<synopsis>
arma_rnd (a, b, v, t, n)
arma_rnd (a, b, v, t)
</synopsis>
</refsynopsisdiv>
<refsection>
<title>Parameters</title>
<variablelist>
<varlistentry><term>a:</term>
<listitem><para> vector</para></listitem></varlistentry>
<varlistentry><term>b:</term>
<listitem><para> vector</para></listitem></varlistentry>
<varlistentry><term>v:</term>
<listitem><para> Variance</para></listitem></varlistentry>
<varlistentry><term>t:</term>
<listitem><para> Length of output vector</para></listitem></varlistentry>
<varlistentry><term>n:</term>
<listitem><para> Number of dummy x(i) used for initialization</para></listitem></varlistentry>
</variablelist>
</refsection>
<refsection>
<title>Description</title>
<para>
This is an Octave function.
The ARMA model is defined by
</para>
<para>
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.
</para>
<para>
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.
</para>
</refsection>
<refsection>
<title>Examples</title>
<programlisting role="example"><![CDATA[
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
]]></programlisting>
</refsection>
</refentry>
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