diff toolboxes/FullBNT-1.0.7/Kalman/learn_AR_diagonal.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/learn_AR_diagonal.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,20 @@
+function [coef, C] = learn_AR_diagonal(y, k)
+% Find the ML parameters for a collection of independent scalar AR processes.
+
+% sep_coef(1,1,t,i) is the coefficient to apply to compopnent i of the state vector t steps ago
+% eg. consider two components L and R and let A = coef(:,:,1,:), B = coef(:,:,2,:)
+% L3    (AL  0   BL 0)     (L2)   (CL 0 0 0)
+% R3 =  (0   AR  0  BR)    (R2)   (0 CR 0 0)
+% L2    (1   0   0  0 )    (L1) + (0 0  0 0)
+% R2    (0   1   0  0 )    (R1)   (0 0  0 0)
+
+ss = size(y, 1);
+sep_coef = zeros(1,1,k,ss);
+for i=1:ss
+  [sep_coef(:,:,:,i), sep_cov(i)] = learn_AR(k, y(i,:));
+end
+C = diag(sep_cov);
+for t=1:k
+  x = sep_coef(1,1,t,:);
+  coef(:,:,t) = diag(x(:));
+end