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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
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