Mercurial > hg > camir-aes2014
comparison toolboxes/FullBNT-1.0.7/Kalman/SS_to_AR.m @ 0:e9a9cd732c1e tip
first hg version after svn
author | wolffd |
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date | Tue, 10 Feb 2015 15:05:51 +0000 |
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children |
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-1:000000000000 | 0:e9a9cd732c1e |
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1 function [coef, C] = SS_to_AR(F, Q, k, diagonal) | |
2 % | |
3 % Extract the parameters of a vector autoregresssive process of order k from the state-space form. | |
4 % [coef, C] = SS_to_AR(F, Q, k, diagonal) | |
5 | |
6 if nargin<4, diagonal = 0; end | |
7 | |
8 s = length(Q) / k; | |
9 bs = s*ones(1,k); | |
10 coef = zeros(s,s,k); | |
11 for i=1:k | |
12 if diagonal | |
13 coef(:,:,i) = diag(diag(F(block(1,bs), block(i,bs)))); | |
14 else | |
15 coef(:,:,i) = F(block(1,bs), block(i,bs)); | |
16 end | |
17 end | |
18 C = Q(block(1,bs), block(1,bs)); | |
19 if diagonal | |
20 C = diag(diag(C)); | |
21 end | |
22 %C = sqrt(Q(block(1,bs), block(1,bs))); % since cov(1,1) of full vector = C C' |