1 files changed, 10 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/Kalman/ensure_AR.m b/sourcecodes/bnt-master/Kalman/ensure_AR.m
new file mode 100644
index 00000000..e89edfa3
--- /dev/null
+++ b/sourcecodes/bnt-master/Kalman/ensure_AR.m
@@ -0,0 +1,10 @@
+function [A, C, Q, R, initx, initV] = ensure_AR(A, C, Q, R, initx, initV, k, obs, diagonal)
+%
+% Ensure that the system matrices have the right form for an autoregressive process.
+
+ss = length(A);
+if nargin<8, obs=ones(ss, 1); end
+if nargin<9, diagonal=0; end
+
+[coef, C] = SS_to_AR(A, Q, k, diagonal);
+[A, C, Q, R, initx, initV] = AR_to_SS(coef, C, obs);