arsimul

Scilab Function
Last update : 16/12/2004

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.