Function Reference
— Function File: arma_rnd (a, b, v, t, n)

Return a simulation of the ARMA model

          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.