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arma_rnd.m

## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
## 
## This program 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 2, or (at your option)
## any later version.
## 
## This program 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 this file.  If not, write to the Free Software Foundation,
## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.

## usage:  arma_rnd (a, b, v, t [, n])
##
## Returns a simulation of the ARMA model
##   x(n) = a(1) * x(n-1) + ... + a(k) * x(n-k) +
##              + e(n) + b(1) * e(n-1) + ... + b(l) * e(n-l),
## where 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. 
  
## Author:  FL <Friedrich.Leisch@ci.tuwien.ac.at>
## Description:  Simulate an ARMA process

function x = arma_rnd (a, b, v, t, n)

  unwind_protect
    orig_listelemok = empty_list_elements_ok;
    empty_list_elements_ok = "true";
  
    if (nargin == 4)
      n = 100;
    elseif (nargin == 5)
      if (!is_scalar (t))
            error ("arma_rnd: n must be a scalar");
      endif
    else
      usage ("arma_rnd (a, b, v, t [, n])");
    endif

    if ( (min (size (a)) > 1) || (min (size (b)) > 1) )
      error ("arma_rnd:  a and b must not be matrices");
    endif
  
    if (!is_scalar (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);
  
    a = [1; -a];              # apply our notational convention
    b = ;
    
    n = min (n, ar + br);
    
    e = sqrt (v) * randn (t + n, 1);
  
    x = filter (b, a, e);
    x = x(n + 1 : t + n);

  unwind_protect_cleanup
    
    empty_list_elements_ok = orig_listelemok;
    
  end_unwind_protect

endfunction

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