Added sim routine for univariate idoply models

1 files changed, 20 insertions, 0 deletions

diff --git a/R/sim.R b/R/sim.R
index 6f802f3..788f850 100644
--- a/R/sim.R
+++ b/R/sim.R
@@ -47,4 +47,24 @@ sim.arx <- function(model,input,sigma=0){
     y[i] <- reg%*%coef + rnorm(1,sd = sigma)
   }
   return(y[n+1:length(input)])
+}
+
+#' @export
+sim.idpoly <- function(model,input,sigma=1){
+  require(signal)
+  
+  n <- length(input)[1]
+  ek <- rnorm(n,sd=sigma)
+  filt1 <- signal::Arma(b=model$C,a=model$D)
+  vk <- filter(filt1,ek)
+  
+  B <- c(rep(0,model$ioDelay),model$B)
+  filt2 <- signal::Arma(b=model$B,a=model$F1)
+  ufk <- filter(filt2,input)
+  
+  ypfk <- ufk + vk;
+  filt3 <- signal::Arma(b=1,a=model$A)
+  yk <- filter(filt3,ypfk)
+  
+  return(as.numeric(yk))
 }
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