armac - Scilab description of an armax process

Calling Sequence

[ar]=armac(a,b,d,ny,nu,sig)

Parameters

• a=[Id,a1,..,a_r] : is a matrix of size (ny,r*ny)
• b=[b0,.....,b_s] : is a matrix of size (ny,(s+1)*nu)
• d=[Id,d1,..,d_p] : is a matrix of size (ny,p*ny);
• ny : dimension of the output y
• nu : dimension of the output u
• sig : a matrix of size (ny,ny)

Description

This function creates a description as a tlist of an ARMAX process

ar is defined by

ar=tlist(['ar','a','b','d','ny','nu','sig'],a,b,d,ny,nu,sig);
   

and thus the coefficients of ar can be retrieved by e.g. ar('a') .

Examples

a=[1,-2.851,2.717,-0.865].*.eye(2,2)
b=[0,1,1,1].*.[1;1];
d=[1,0.7,0.2].*.eye(2,2);
sig=eye(2,2);
ar=armac(a,b,d,2,1,sig)
// extract polynomial matrices from ar representation 
[A,B,D]=arma2p(ar);
 

See Also

arma  armax  armax1  arsimul  arma2p  tlist