www.gusucode.com > econ 案例源码程序 matlab代码 > econ/SimulateandFilterExample.m
%% Simulate and Filter % Copyright 2015 The MathWorks, Inc. %% % Specify a mean zero ARIMA(2,0,1) model. Mdl = arima('Constant',0,'AR',{0.5,-0.8},'MA',-0.5,... 'Variance',0.1); %% % Simulate the model using Monte Carlo simulation. Then, standardize the % simulated innovations and filter them. rng(1); % For reproducibility [y,e,v] = simulate(Mdl,100); Z = e./sqrt(v); [Y,E,V] = filter(Mdl,Z); %% % Confirm that the outputs of |simulate| and |filter| are identical. isequal(y,Y) %% % The logical value |1| confirms the two outputs are identical.