79 lines
3.4 KiB
HTML
79 lines
3.4 KiB
HTML
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<title>Description of gendata</title>
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<meta name="description" content="[y,epsilon,alpha,eta] = gendata(T, ssf, a0)">
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<div><a href="../index.html">Home</a> > <a href="index.html">.</a> > gendata.m</div>
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<!--<table width="100%"><tr><td align="left"><a href="../index.html"><img alt="<" border="0" src="../left.png"> Master index</a></td>
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<td align="right"><a href="index.html">Index for . <img alt=">" border="0" src="../right.png"></a></td></tr></table>-->
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<h1>gendata
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</h1>
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<h2><a name="_name"></a>PURPOSE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>[y,epsilon,alpha,eta] = gendata(T, ssf, a0)</strong></div>
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<h2><a name="_synopsis"></a>SYNOPSIS <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="box"><strong>function [y,epsilon,alpha,eta] = gendata(T, ssf, a0) </strong></div>
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<h2><a name="_description"></a>DESCRIPTION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre class="comment"> [y,epsilon,alpha,eta] = gendata(T, ssf, a0)
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generates random data of the length T for the given state space form
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and initial state</pre></div>
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<!-- crossreference -->
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<h2><a name="_cross"></a>CROSS-REFERENCE INFORMATION <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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This function calls:
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<ul style="list-style-image:url(../matlabicon.gif)">
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</ul>
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This function is called by:
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<ul style="list-style-image:url(../matlabicon.gif)">
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</ul>
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<!-- crossreference -->
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<h2><a name="_source"></a>SOURCE CODE <a href="#_top"><img alt="^" border="0" src="../up.png"></a></h2>
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<div class="fragment"><pre>0001 <span class="comment">% [y,epsilon,alpha,eta] = gendata(T, ssf, a0)</span>
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0002 <span class="comment">%</span>
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0003 <span class="comment">% generates random data of the length T for the given state space form</span>
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0004 <span class="comment">% and initial state</span>
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0005
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0006 <span class="comment">% $Id: gendata.m 532 2005-11-30 13:51:33Z kamenik $</span>
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0007 <span class="comment">% Copyright 2005, Ondra Kamenik</span>
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0008
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0009 <a name="_sub0" href="#_subfunctions" class="code">function [y,epsilon,alpha,eta] = gendata(T, ssf, a0)</a>
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0010
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0011 m = size(ssf.T, 1);
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0012 p = size(ssf.Z, 1);
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0013 r = size(ssf.R, 2);
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0014
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0015 cholH = chol(ssf.H);
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0016 cholQ = chol(ssf.Q);
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0017
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0018 epsilon = cholH*randn(p,T);
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0019 eta = cholQ*randn(r, T);
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0020
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0021 y = zeros(p, T);
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0022 alpha = zeros(m,T);
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0023 alpha(:,1) = a0;
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0024
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0025 <span class="keyword">for</span> t = 1:T
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0026 y(:,t) = ssf.Z*alpha(:,t) + epsilon(:,t);
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0027 <span class="keyword">if</span> t ~= T
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0028 alpha(:,t+1) = ssf.T*alpha(:,t) + ssf.R*eta(:,t);
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0029 <span class="keyword">end</span>
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0030 <span class="keyword">end</span></pre></div>
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<hr><address>Generated on Fri 16-Jun-2006 09:09:06 by <strong><a href="http://www.artefact.tk/software/matlab/m2html/">m2html</a></strong> © 2003</address>
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