ARMA simulation
Purpose
Description
Macro Synopsis
Modules
Related Functions
References
Purpose
Simulate an ARMA process
Description
"ARMA simulation" simulates an autoregressive moving-average (ARMA) process
according to
using a noise signal x as input.
Parameters of "ARMA simulation" are
- order (number of coefficients) P of the AR process
- AR coefficients a1, a2, ..., an
- order (number of coefficients) Q of the MA process
- MA coefficients b1, b2, ..., bm
- constant term c.
Macro Synopsis
y = ARMAsim(x, P, "a1,a2,...,an", Q,
"b1,b2,...,bn", "c");
signal x,y;
int n,m;
string a,b,c;
Modules
Statistics
Related Functions
AR simulation, ARIMA modeling,
ARIMAX modeling, ARMA model order,
ARMA modeling, ARMA spectral density,
ARMAX modeling,
ARMAX simulation, NAR modeling,
NARMA modeling.
References
Ljung [10], Conover [11], Graybill
[12], Hollander/Wolfe [13]