Mercurial > hg > camir-aes2014
annotate toolboxes/FullBNT-1.0.7/Kalman/convert_to_lagged_form.m @ 0:e9a9cd732c1e tip
first hg version after svn
| author | wolffd |
|---|---|
| date | Tue, 10 Feb 2015 15:05:51 +0000 |
| parents | |
| children |
| rev | line source |
|---|---|
| wolffd@0 | 1 function yy = convert_to_lagged_form(y, k) |
| wolffd@0 | 2 % Create an observation vector yy(:,t) containing the last k values of y, newest first |
| wolffd@0 | 3 % e.g., k=2, y = (a1 a2 a3) yy = a2 a3 |
| wolffd@0 | 4 % (b1 b2 b3) b2 b2 |
| wolffd@0 | 5 % a1 a2 |
| wolffd@0 | 6 % b1 b2 |
| wolffd@0 | 7 |
| wolffd@0 | 8 [s T] = size(y); |
| wolffd@0 | 9 bs = s*ones(1,k); |
| wolffd@0 | 10 yy = zeros(k*s, T-k+1); |
| wolffd@0 | 11 for i=1:k |
| wolffd@0 | 12 yy(block(i,bs), :) = y(:, k-i+1:end-i+1); |
| wolffd@0 | 13 end |
| wolffd@0 | 14 |