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C++ API

: arma_rnd (a, b, v, t, n)

Return a simulation of the ARMA model.

The ARMA model is defined by

x(n) = a(1) * x(n-1) + … + a(k) * x(n-k)
     + e(n) + b(1) * e(n-1) + … + b(l) * e(n-l)

in which 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.

Package: octave