Mercurial > hg > camir-ismir2012
annotate toolboxes/FullBNT-1.0.7/Kalman/SS_to_AR.m @ 0:cc4b1211e677 tip
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646 (e263d8a21543) added further path and more save "camirversion.m"
| author | Daniel Wolff |
|---|---|
| date | Fri, 19 Aug 2016 13:07:06 +0200 |
| parents | |
| children |
| rev | line source |
|---|---|
| Daniel@0 | 1 function [coef, C] = SS_to_AR(F, Q, k, diagonal) |
| Daniel@0 | 2 % |
| Daniel@0 | 3 % Extract the parameters of a vector autoregresssive process of order k from the state-space form. |
| Daniel@0 | 4 % [coef, C] = SS_to_AR(F, Q, k, diagonal) |
| Daniel@0 | 5 |
| Daniel@0 | 6 if nargin<4, diagonal = 0; end |
| Daniel@0 | 7 |
| Daniel@0 | 8 s = length(Q) / k; |
| Daniel@0 | 9 bs = s*ones(1,k); |
| Daniel@0 | 10 coef = zeros(s,s,k); |
| Daniel@0 | 11 for i=1:k |
| Daniel@0 | 12 if diagonal |
| Daniel@0 | 13 coef(:,:,i) = diag(diag(F(block(1,bs), block(i,bs)))); |
| Daniel@0 | 14 else |
| Daniel@0 | 15 coef(:,:,i) = F(block(1,bs), block(i,bs)); |
| Daniel@0 | 16 end |
| Daniel@0 | 17 end |
| Daniel@0 | 18 C = Q(block(1,bs), block(1,bs)); |
| Daniel@0 | 19 if diagonal |
| Daniel@0 | 20 C = diag(diag(C)); |
| Daniel@0 | 21 end |
| Daniel@0 | 22 %C = sqrt(Q(block(1,bs), block(1,bs))); % since cov(1,1) of full vector = C C' |