corr_est_non.m

用于模拟时变非平稳的ARMA过程

function Qalpha= corr_est_non(x, y, MAX_M_LAG, alpha)
% function Qalpha= corr_est_non(x, y, MAX_M_LAG, alpha)
%   This file is part of the TFPM toolbox v0.9 (c)
%   [e-mail] and underlies the GPL.
% 
% Computes the noncyclic outer signal product of x[n] and y[n] for 
% alpha= +/-1/2. if(MAX_M_LAG==-1) then Qalpha is a full NxN
% FFT-ready matrix. 

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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clear;%tfpm;
MAR  =   7;
LAR  =   5;
MMA  =   0;
LMA  =   0;
N    =  64;
re_im= 'r';
mo_no= 'm';
tfpm_file_gen;
%-------------
x= tvarma_gen(randn(N, 1), Amn, Bmn);
%x= (1:N).';
y= x;
MAX_M_LAG= -1;
alpha    = 1/2;
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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% Dimensions:
N= length(x);

x= x(:);y= y(:);

% Check range of MAX_M_LAG
MAX_M_LAG= min(MAX_M_LAG, N-1);
if(MAX_M_LAG==-1)
   Msquare= 1;
   MAX_M_LAG= N/2-1;
else
   Msquare= 0;
end;

% Outer signal product (== primitive estimator)
Qalpha= zeros(N, 2*MAX_M_LAG+1+Msquare);
if(alpha==1/2)
   y1= [flipud(y); zeros(N-1, 1)];
   for n= 0:N-1
      Qalpha(n+1, :)= x(n+1) * y1(N-MAX_M_LAG-Msquare:N+MAX_M_LAG)';
      y1= [0; y1(1:2*N-2) ];
   end;
elseif(alpha==-1/2)
   x1= [zeros(N-1, 1); x];
   for n= 0:N-1
      Qalpha(n+1, :)= y(n+1)' * x1(N-MAX_M_LAG-Msquare:N+MAX_M_LAG).';
      x1= [x1(2:2*N-1); 0];
   end;
end;

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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size(Qalpha)
Q0= ker_to_lag_non(x*y', -1, alpha);
norm(Q0-Qalpha)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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