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<span class="path"><a href="index.html">FOSSEE Signal Processing Toolbox</a> >> <a href="section_e54aa8aac34aa55341e8b4b782fe1a74.html">FOSSEE Signal Processing Toolbox</a> > arch_rnd</span>
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<div class="refnamediv"><h1 class="refname">arch_rnd</h1>
<p class="refpurpose">Simulate an ARCH sequence of length t with AR coefficients b and CH coefficients a.</p></div>
<div class="refsynopsisdiv"><h3 class="title">Calling Sequence</h3>
<div class="synopsis"><pre><span class="functionid">arch_rnd</span><span class="default"> (</span><span class="default">a</span><span class="default">, </span><span class="default">b</span><span class="default">, </span><span class="default">t</span><span class="default">)</span></pre></div></div>
<div class="refsection"><h3 class="title">Parameters</h3>
<dl><dt><span class="term">a:</span>
<dd><p class="para">CH coefficients</p></dd></dt>
<dt><span class="term">b:</span>
<dd><p class="para">AR coefficients</p></dd></dt>
<dt><span class="term">t:</span>
<dd><p class="para">Length of ARCH sequence</p></dd></dt></dl></div>
<div class="refsection"><h3 class="title">Description</h3>
<p class="para">This is an Octave function.
It Simulates an ARCH sequence of length t with AR coefficients b and CH coefficients a.
The result y(t) follows the model</p>
<p class="para">y(t) = b(1) + b(2) * y(t-1) + … + b(lb) * y(t-lb+1) + e(t),
where e(t), given y up to time t-1, is N(0, h(t)), with</p>
<p class="para">h(t) = a(1) + a(2) * e(t-1)^2 + … + a(la) * e(t-la+1)^2</p></div>
<div class="refsection"><h3 class="title">Examples</h3>
<div class="programlisting"><table border="0" width="100%"><tr><td width="98%"><pre class="scilabcode"><span class="scilabid">a</span> <span class="scilaboperator">=</span> <span class="scilabopenclose">[</span><span class="scilabnumber">1</span> <span class="scilabnumber">2</span> <span class="scilabnumber">3</span> <span class="scilabnumber">4</span> <span class="scilabnumber">5</span><span class="scilabopenclose">]</span><span class="scilabdefault">;</span>
<span class="scilabid">b</span> <span class="scilaboperator">=</span> <span class="scilabopenclose">[</span><span class="scilabnumber">7</span> <span class="scilabnumber">8</span> <span class="scilabnumber">9</span> <span class="scilabnumber">10</span><span class="scilabopenclose">]</span><span class="scilabdefault">;</span>
<span class="scilabid">arch_rnd</span> <span class="scilabopenclose">(</span><span class="scilabid">a</span><span class="scilabdefault">,</span> <span class="scilabid">b</span><span class="scilabdefault">,</span> <span class="scilabid">t</span><span class="scilabopenclose">)</span>
<span class="scilabid">ans</span> <span class="scilaboperator">=</span>
<span class="scilabnumber">6.1037e+00</span>
<span class="scilabnumber">5.7294e+01</span>
<span class="scilabnumber">5.7390e+02</span>
<span class="scilabnumber">6.3063e+03</span>
<span class="scilabnumber">6.8695e+04</span></pre></td><td valign="top"><a href="scilab://scilab.execexample/"><img src="ScilabExecute.png" border="0"/></a></td><td valign="top"><a href="scilab://scilab.editexample/"><img src="ScilabEdit.png" border="0"/></a></td><td></td></tr></table></div></div>
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