arsimul

arsimul — armax simulation

Calling sequence

[z]=arsimul(a,b,d,sig,u,[up,yp,ep])  
[z]=arsimul(ar,u,[up,yp,ep])

Parameters

`ar`	: an armax process. See armac.
`a`	: is the matrix[Id,a1,...,a_r] of dimension (n,(r+1)*n)
`b`	: is the matrix[b0,......,b_s] of dimension (n,(s+1)*m)
`d`	: is the matrix[Id,d_1,......,d_t] of dimension (n,(t+1)*n)
`u`	: is a matrix (m,N), which gives the entry u(:,j)=u_j
`sig`	: is a (n,n) matrix e_{k} is an n-dimensional Gaussian process with variance I
`up, yp`	: optional parameter which describe the past. up=[ u_0,u_{-1},...,u_{s-1}]; yp=[ y_0,y_{-1},...,y_{r-1}]; ep=[ e_0,e_{-1},...,e_{r-1}]; if they are omitted, the past value are supposed to be zero
`z`	: z=[ y(1),....,y(N)]

Description

simulation of an n-dimensional armax process A(z^-1) z(k)= B(z^-1)u(k) + D(z^-1)*sig*e(k)

A(z)= Id+a1*z+...+a_r*z^r; ( r=0 => A(z)=Id) B(z)= b0+b1*z+...+b_s z^s; ( s=-1 => B(z)=[]) D(z)= Id+d1*z+...+d_t z^t; ( t=0 => D(z)=Id) z et e are in R^n et u in R^m

Method

a state-space representation is constructed and ode with the option "discr" is used to compute z

Author

J-Ph.C.;