wolffd@0: function [coef, C] = SS_to_AR(F, Q, k, diagonal)
wolffd@0: %
wolffd@0: % Extract the parameters of a vector autoregresssive process of order k from the state-space form.
wolffd@0: % [coef, C] = SS_to_AR(F, Q, k, diagonal)
wolffd@0: 
wolffd@0: if nargin<4, diagonal = 0; end
wolffd@0: 
wolffd@0: s = length(Q) / k;
wolffd@0: bs = s*ones(1,k);
wolffd@0: coef = zeros(s,s,k);
wolffd@0: for i=1:k
wolffd@0:   if diagonal
wolffd@0:     coef(:,:,i) = diag(diag(F(block(1,bs), block(i,bs))));
wolffd@0:   else
wolffd@0:     coef(:,:,i) = F(block(1,bs), block(i,bs));
wolffd@0:   end
wolffd@0: end
wolffd@0: C = Q(block(1,bs), block(1,bs));
wolffd@0: if diagonal
wolffd@0:   C = diag(diag(C));
wolffd@0: end
wolffd@0: %C = sqrt(Q(block(1,bs), block(1,bs))); % since cov(1,1) of full vector = C C'