corr_est.m

用于模拟时变非平稳的ARMA过程

function Qalpha= corr_est(x, y, MAX_M_LAG, alpha)
% function Qalpha= corr_est(x, y, MAX_M_LAG, alpha)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 
% Computes the cyclic 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    =  16;
re_im= 'r';
mo_no= 'm';
tfpm_file_gen;
%-------------
x= randn(N, 1);
%x= (1:N).';
y= x;
MAX_M_LAG= 2;
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);

Qalpha= corr_est_non([x(:);x(:);x(:)], [y(:);y(:);y(:)], MAX_M_LAG, alpha);
if(MAX_M_LAG==-1)
   Qalpha= Qalpha(N+1:2*N, N+1:2*N);
else
   Qalpha= Qalpha(N+1:2*N, :);
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(x*y', MAX_M_LAG, alpha);
norm(Q0-Qalpha)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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