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Diffstat (limited to 'sourcecodes/bnt-master/Kalman/learn_AR_diagonal.m')
| -rw-r--r-- | sourcecodes/bnt-master/Kalman/learn_AR_diagonal.m | 20 |
1 files changed, 20 insertions, 0 deletions
diff --git a/sourcecodes/bnt-master/Kalman/learn_AR_diagonal.m b/sourcecodes/bnt-master/Kalman/learn_AR_diagonal.m new file mode 100644 index 00000000..8d31f217 --- /dev/null +++ b/sourcecodes/bnt-master/Kalman/learn_AR_diagonal.m @@ -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 |