vambi_est.m

用于模拟时变非平稳的ARMA过程

function [AMBI, ambi]= vambi_est(X, MMAX, LMAX)
% function [AMBI, ambi]= vambi_est(X, MMAX, LMAX)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
if(0)
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clear;tfpm
alpha= 1/2;
N= 128;
M0= 2;
L0= 1;
J0= 2;
B0= J0;

MMAX= 2*M0;
LMAX= 2*L0;
crit= 'AIC';

filename= sprintf('vtfar%02d%02d%02d%04d', M0, L0, J0, N)
load(filename);
AML0= AML;
B0L0= B0L;


%AML0= eye(J0);B0L0= eye(J0);
E= randn(N, J0);
X= vtfarma_gen(E, AML0, B0L0, B0, 1/2);
MMAX= 4;
LMAX= 4;
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end;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

[N, J]= size(X);
alpha= 1/2;

% Compute the EXAFs
ambi= zeros(J, J, 6*LMAX+1, 2*MMAX+1);
AMBI= zeros(J, J, N, N);
for j= 1:J
   for jp= 1:J
%      [j jp]
      R= corr_est(X(:, j), X(:, jp), -1, alpha);
      A= fft(R);
      A= [A(N/2+1:N, :); A(1:N/2, :)];
      
      AMBI(j, jp, :, :)= A;
      
%      AMBI(j, jp, :, :)= tfarma_ambi(reshape(AML0(j, jp, :, :), 2*L0+1, M0+1), reshape(B0L0(j, jp, :, :), 2*L0+1, 1), N, 1/2);
      
      
      ambi(j, jp, :, :)= AMBI(j, jp, N/2+1-3*LMAX:N/2+1+3*LMAX, N/2+1-MMAX:N/2+1+MMAX);
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
if(0)
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
      aaa= zeros(6*LMAX+1, 2*MMAX+1);
      if(j==jp)
         aaa(3*LMAX+1, MMAX+1)= 2;
      end;
      AMBI(j, jp, :, :)= aaa;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
end;
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
   end;
end;