tfar_est_tfywe.m

用于模拟时变非平稳的ARMA过程

function [A, B]= tfar_est_tfywe(Ayy, N)
% function [A, B]= tfar_est_tfywe(Ayy, N)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 
% Estimates TFAR(MAR; LAR; N; 1/2) models from Ayy. 
% size(Ayy)= [6*LAR+1, 2*MAR+1], Ayy(3*LAR+1, MAR+1)= A_y[0, 0]. 
% Uses the exact TFYW estimator. 

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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clear;tfpm;
MAR  =   2;
LAR  =   2;
MMA  =   0;
LMA  = LAR;
N    = 128;
re_im= 'i';
mo_no= 'n';
tfpm_file_gen;
%-------------
alpha= 1/2;
Aalpha= tfarma_ambi(Aml, Bml, N, alpha);
Ayy= Aalpha(N/2-3*LAR+1:N/2+3*LAR+1, N/2-MAR+1:N/2+MAR+1);

HAR= tvarma_impr(Anm, Bnm);
AAR= nm_to_ml(ker_to_lag(HAR*HAR', -1, alpha));
Ayy= AAR   (N/2-3*LAR+1:N/2+3*LAR+1, N/2-MAR+1:N/2+MAR+1);
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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% Dimensions
MARmax= (size(Ayy, 2)-1)/2;
LAR   = (size(Ayy, 1)-1)/6;
LL    = 2*LAR+1;

% Fill the block-Toeplitz generator rPM and the RHS BM
rPM= [];
vPM= [];
for lambda= 2*LAR:-1:-2*LAR
   rPM= [rPM toep(fliplr(Ayy(3*LAR+1+lambda, 2:2*MARmax)))];
   vPM= [vPM ones(MARmax, 1)*exp(-j*2*pi/N*(1:MARmax)*lambda)];
end;

BM = [];
for l= -LAR:LAR
   BM= [BM; -Ayy(3*LAR+1+l, MARmax+2:2*MARmax+1).'];
end;

% Solve the system
AM= invert_akaike(rPM.*vPM, BM);

% Reshape AM to A and Compute B
A= [[zeros(LAR, 1); 1; zeros(LAR, 1)] reshape(AM(:, :, LL), MARmax, LL).'];
B= tfar_est_b0l(Ayy, A, N);

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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param_norm(A, Aml, 0)
param_norm(B, Bml, 1)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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