tfar_est_grenier.m

用于模拟时变非平稳的ARMA过程

function A_est_ml= tfar_est_grenier(Ralpha, MAR, LAR, N)

% function 
%   This file is part of the TFPM toolbox v0.0 (c) [e-mail] and underlies the GPL.
% 
% Estimates a TFAR(M; L; N) model according to the data y. 
% Uses the estimator of Y. Grenier (1983)

% Generate R matrix
R= zeros(MAR*(2*LAR+1));
for n= MAR:N-1
   for m= 1:MAR
      for mprime= 1:MAR
         for l= -LAR:LAR
	    for lprime= -LAR:LAR
               mm= m-mprime + MAR+1;
               R( MAR*(LAR+l)+m, MAR*(LAR+lprime)+mprime )= ...
               R( MAR*(LAR+l)+m, MAR*(LAR+lprime)+mprime ) + ...
		   Ralpha(n-mprime+1, mm)*exp(j*2*pi*(lprime-l)*n/N) ...
		                         *exp(j*2*pi*l*m/N);
	    end;
         end;
      end;
   end;
end;

% Generate r vector
r= zeros(MAR*(2*LAR+1), 1);
for n= MAR:N-1
   for m= 1:MAR
      for l= -LAR:LAR
         r( MAR*(LAR+l)+m )= r( MAR*(LAR+l)+m ) + Ralpha( n+1, m+MAR+1 )*exp(-j*2*pi*l*(n-m)/N);%+1!!
      end;
   end;
end;
theta= -inv(R)*r;

A_est_ml= TFPM_destack(theta, MAR, LAR);