fit_tfar_aic.m

用于模拟时变非平稳的ARMA过程

clear;tfpm
load('~/matlab/data/Motordaten/bmw1000.mat');
MM= 100;
N0= 1468;
N= 256;
offset= 64;
alpha= 1/2;

X= zeros(N, MM);
for mm= 1:MM
   X(:, mm)= c1(offset:2:offset+2*N-1, mm)-mean(c1(offset:2:offset+2*N-1, mm));
end;

Q= zeros(N, N, MM);
MAR= 2;
LAR= 1;
%Psi= tf_multiwin(N, MAR, LAR, 0, 2, 1);
mm= 1;
for mm= 1:MM
   mm
   Q(:, :, mm)= X(:, mm)*X(:, mm)';
   Qalpha= corr_est(X(:, mm), X(:, mm), MAR, alpha);
   Aalpha= fft(Qalpha);
   Aalpha= [ Aalpha(N/2+1:N, :); Aalpha(1:N/2, :)];
   Ayy= Aalpha(N/2-3*LAR+1:N/2+3*LAR+1, :);
   [AA, BB]= tfar_est_tfywu(Ayy, N);
   tf_show(tfarma_wvsp(AA(:, :, end), BB(:, :, end), N, alpha))
%   pause
end;
q= sum(Q, 3)/MM;
tf_show(q);
mesh(q)