Home > freetb4matlab > signal > arch_rnd.m

arch_rnd

PURPOSE ^

% Simulate an ARCH sequence of length @var{t} with AR

SYNOPSIS ^

function y = arch_rnd (a, b, T)

DESCRIPTION ^

% -*- texinfo -*-
% @deftypefn {Function File} {} arch_rnd (@var{a}, @var{b}, @var{t})
% Simulate an ARCH sequence of length @var{t} with AR
% coefficients @var{b} and CH coefficients @var{a}.  I.e., the result
% @math{y(t)} follows the model
%
% @c Set example in small font to prevent overfull line
% @smallexample
% y(t) = b(1) + b(2) * y(t-1) + @dots{} + b(lb) * y(t-lb+1) + e(t),
% @end smallexample
%
% @noindent
% where @math{e(t)}, given @var{y} up to time @math{t-1}, is
% @math{N(0, h(t))}, with
%
% @c Set example in small font to prevent overfull line
% @smallexample
% h(t) = a(1) + a(2) * e(t-1)^2 + @dots{} + a(la) * e(t-la+1)^2
% @end smallexample
% @end deftypefn

CROSS-REFERENCE INFORMATION ^

This function calls: This function is called by:
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