tfarma_inv.m

用于模拟时变非平稳的ARMA过程

function e= tfarma_inv(y, Aml, Bml)
% function e= tfarma_inv(y, Aml, Bml)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 
% Filtering with the inverse filter of a TFARMA(MAR, LAR, MMA, LMA;
% N; 1/2) model. The TF model parameters a_ml resp. b_ml are given
% in the (MAR+1) x (2LAR+1) resp. (MMA+1) x (2LMA+1) matrices Aml
% resp. Bml, where N is the length of the input signal vector e. 

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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clear;tfpm;
N    = 128;
MAR  =   3;
LAR  =   2;
MMA  =   2;
LMA  = LAR;
re_im= 'r';
mo_no= 'n';
tfpm_file_gen;
%-------------
beta= 1/2;
e0= randn(N, 1);
y= tfarma_gen(e0, Aml, Bml, beta);
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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% Dimensions
[MAR, LAR]= param_dim(Bml);
[MMA, LMA]= param_dim(Aml);

N= length(y);
C0n= param_expand(Bml(:, 1), N);

% Generate monic AR system from possibly non-monic MA system:
Amn= param_expand(Bml, N)./(C0n*ones(1, 1+MAR));
Bmn= param_expand(Aml, N);

% Inverse MA filtering
u= tvarma_gen(y     , ones(N, 1), Bmn       );
% Inverse AR filtering
e= tvarma_gen(u./C0n, Amn       , ones(N, 1));

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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norm(e-e0)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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