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Revision 940, 0.7 kB
(checked in by suzdalev, 14 years ago)
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simulator
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Property svn:eol-style set to
native
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| 1 | clear all |
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| 2 | % name random variables |
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| 3 | y = RV({'y'},1); |
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| 4 | u = RV({'u'},1); |
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| 5 | |
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| 6 | % create f(y_t| y_{t-3}, u_{t-1}) |
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| 7 | fy.class = 'mlnorm<ldmat>'; |
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| 8 | fy.rv = y; |
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| 9 | fy.rvc = RVtimes([y,u], [-3, -1]); |
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| 10 | fy.A = [0.5, -0.9]; |
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| 11 | fy.const = 0; |
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| 12 | fy.R = 1e-2; |
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| 13 | |
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| 14 | % create f(u_t| ) |
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| 15 | fu.class = 'enorm<ldmat>'; |
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| 16 | fu.rv = u; |
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| 17 | fu.mu = 0; |
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| 18 | fu.R = 1e-1; |
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| 19 | |
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| 20 | % create DS |
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| 21 | DS.class = 'PdfDS'; |
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| 22 | DS.pdf.class = 'mprod'; |
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| 23 | DS.pdf.pdfs = {fy, fu}; |
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| 24 | DS.init_rv = RVtimes([y,y,y], [-1,-2,-3]); |
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| 25 | DS.init_values = [0.1, 0.2, 0.3]; |
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| 26 | |
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| 27 | experiment.ndat=100; |
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| 28 | |
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| 29 | M=simulator(DS,experiment); |
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| 30 | %M=estimator(DS,{},experiment); |
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| 31 | |
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| 32 | %%% store results |
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| 33 | Data=[M.DS_dt_y'; M.DS_dt_u']; |
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| 34 | drv = RVjoin([y,u]); |
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| 35 | true_theta=[fy.A fy.const]; |
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| 36 | true_R=[fy.R]; |
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| 37 | save pdfds_results Data drv y u true_theta true_R |
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