tfma_est_lin.m

来自「用于模拟时变非平稳的ARMA过程」· M 代码 · 共 64 行

function BB= tfma_est_lin(y, Aalpha, Psi, MMA, LMA, Mlong, Llong)
% function BB= tfma_est_lin(y, Aalpha, Psi, MMA, LMA, Mlong, Llong)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 
% Estimates TFMA(MMA; LMA; N; 1/2) models from Aalpha.
% size(Aalpha)= [N, N], Aalpha(N/2+1, N/2+1)= A_y[0, 0]. 

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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clear;tfpm;
MAR  =   0;
LAR  =   0;
MMA  =   2;
LMA  =   1;
N    = 128;
re_im= 'i';
mo_no= 'm';
tfpm_file_gen;
%-------------
alpha= 1/2;
beta = 1/2;

%Aalpha= tfarma_ambi(Aml, Bml, N, alpha);

Mlong= 5;
Llong= 5;

Psi= tf_multiwin(N, 2*MMA, 2*LMA, 0, 2, 1);

y= tfarma_gen(randn(N, 1), Aml, Bml, beta);
ayy= fft(corr_est(y, y, -1, 1/2));
Aalpha= [ayy(N/2+1:N, :)  ; ayy(1:N/2, :)  ].*conj(Psi);


%figure(97);cesh(Aalpha)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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% Dimensions
N= size(Aalpha, 1);

% Fit long intermediate TFAR model
[AA, BB]= tfar_est_tfywu(Aalpha(N/2+1-3*Llong:N/2+1+3*Llong, N/2+1-Mlong: N/2+1+Mlong), N);
e= tfarma_inv(y, AA(:, :, end), BB(:, :, end));

aey= fft(corr_est(e, y, MMA, 1/2));
aey= [aey(N/2+1:N, :)  ; aey(1:N/2, :)  ].*conj(Psi(:, N/2+1-MMA: N/2+1+MMA));

BB= tfma_sid_tfywu(Aalpha(:, N/2+1-MMA: N/2+1+MMA), aey, LMA, 1/2);

BB(:, 1, :)= (conj(flipdim(BB(:, 1, :), 1)) + BB(:, 1, :))/2;

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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param_norm(BB(:, :, end), Bml, 1)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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