update packages

[CreaPhase.git] / octave_packages / m / signal / arma_rnd.m

diff --git a/octave_packages/m/signal/arma_rnd.m b/octave_packages/m/signal/arma_rnd.m
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+## Copyright (C) 1995-2012 Friedrich Leisch
+##
+## This file is part of Octave.
+##
+## Octave is free software; you can redistribute it and/or modify it
+## under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 3 of the License, or (at
+## your option) any later version.
+##
+## Octave is distributed in the hope that it will be useful, but
+## WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+## General Public License for more details.
+##
+## You should have received a copy of the GNU General Public License
+## along with Octave; see the file COPYING.  If not, see
+## <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {} arma_rnd (@var{a}, @var{b}, @var{v}, @var{t}, @var{n})
+## Return a simulation of the ARMA model
+##
+## @example
+## @group
+## x(n) = a(1) * x(n-1) + @dots{} + a(k) * x(n-k)
+##      + e(n) + b(1) * e(n-1) + @dots{} + b(l) * e(n-l)
+## @end group
+## @end example
+##
+## @noindent
+## in which @var{k} is the length of vector @var{a}, @var{l} is the
+## length of vector @var{b} and @var{e} is Gaussian white noise with
+## variance @var{v}.  The function returns a vector of length @var{t}.
+##
+## The optional parameter @var{n} gives the number of dummy
+## @var{x}(@var{i}) used for initialization, i.e., a sequence of length
+## @var{t}+@var{n} is generated and @var{x}(@var{n}+1:@var{t}+@var{n})
+## is returned.  If @var{n} is omitted, @var{n} = 100 is used.
+## @end deftypefn
+
+## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description: Simulate an ARMA process
+
+function x = arma_rnd (a, b, v, t, n)
+
+  if (nargin == 4)
+    n = 100;
+  elseif (nargin == 5)
+    if (!isscalar (n))
+      error ("arma_rnd: N must be a scalar");
+    endif
+  else
+    print_usage ();
+  endif
+
+  if ((min (size (a)) > 1) || (min (size (b)) > 1))
+    error ("arma_rnd: A and B must not be matrices");
+  endif
+
+  if (!isscalar (t))
+    error ("arma_rnd: T must be a scalar");
+  endif
+
+  ar = length (a);
+  br = length (b);
+
+  a = reshape (a, ar, 1);
+  b = reshape (b, br, 1);
+
+  ## Apply our notational convention.
+  a = [1; -a];
+  b = [1; b];
+
+  n = min (n, ar + br);
+
+  e = sqrt (v) * randn (t + n, 1);
+
+  x = filter (b, a, e);
+  x = x(n + 1 : t + n);
+
+endfunction