toeptoep.m

用于模拟时变非平稳的ARMA过程

function T= toeptoep(t)
% function T= toeptoep(t)
%   This file is part of the TFPM toolbox v0.9 (c)
%   [e-mail] and underlies the GPL.
% 
% Generates a PMxPM Toeplitz/block-Toeplitz matrix T using the
% (2M-1) length-(2P-1) sequences in the rows of t.

PM= size(t);
P= (PM(2)+1)/2;
M= (PM(1)+1)/2;
T= zeros(P*M);

for m1= 1:M
   for m2= 1:M
      T(P*(m1-1)+1:P*m1, P*(m2-1)+1:P*m2)= toep(t(M+m2-m1, :));
   end;
end;