diff options
Diffstat (limited to 'sourcecodes/bnt-master/Kalman/SS_to_AR.m')
| -rw-r--r-- | sourcecodes/bnt-master/Kalman/SS_to_AR.m | 22 |
1 files changed, 22 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/Kalman/SS_to_AR.m b/sourcecodes/bnt-master/Kalman/SS_to_AR.m new file mode 100644 index 00000000..084b7141 --- /dev/null +++ b/sourcecodes/bnt-master/Kalman/SS_to_AR.m @@ -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' |