diff toolboxes/FullBNT-1.0.7/Kalman/SS_to_AR.m @ 0:e9a9cd732c1e tip

first hg version after svn

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/toolboxes/FullBNT-1.0.7/Kalman/SS_to_AR.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,22 @@
+function [coef, C] = SS_to_AR(F, Q, k, diagonal)
+%
+% Extract the parameters of a vector autoregresssive process of order k from the state-space form.
+% [coef, C] = SS_to_AR(F, Q, k, diagonal)
+
+if nargin<4, diagonal = 0; end
+
+s = length(Q) / k;
+bs = s*ones(1,k);
+coef = zeros(s,s,k);
+for i=1:k
+  if diagonal
+    coef(:,:,i) = diag(diag(F(block(1,bs), block(i,bs))));
+  else
+    coef(:,:,i) = F(block(1,bs), block(i,bs));
+  end
+end
+C = Q(block(1,bs), block(1,bs));
+if diagonal
+  C = diag(diag(C));
+end
+%C = sqrt(Q(block(1,bs), block(1,bs))); % since cov(1,1) of full vector = C C'