tvarma_gen.m

用于模拟时变非平稳的ARMA过程

function y= tvarma_gen(e, Anm, Bnm)
% function y= tvarma_gen(e, Anm, Bnm)
%   This file is part of the TFPM toolbox v1.0 (c)
%   [e-mail] and underlies the GPL.
% 
% Generates the output of a cyclic shifted TVARMA(MAR, MMA, 1/2)
% model. The TV model parameters a_m[n] resp. b_m[n] are given in
% the N x (MAR+1) resp. N x (MMA+1) matrices Anm resp.  Bmn, where
% N is the length of the input signal vector e. The cyclicity is
% generated by computing two cycles (2*N data samples) of the TVAR
% part and taking only the second one! 

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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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clear;tfpm;
MAR  =   1;
LAR  =   1;
MMA  =   1;
LMA  =   1;
N    = 128;
re_im= 'r';
mo_no= 'm';
tfpm_file_gen;
%-------------
e= randn(N, 1);
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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% Dimensions:
N= length(e);
MMA= size(Bnm, 2)-1;
MAR= size(Anm, 2)-1;

%% The TVMA part:
E= e;
for m= 1:MMA
   E= [E [e(N-m+1:N); e(1:N-m)]];
end;
u= sum(E.*Bnm, 2);

%% The TVAR part:
if(~MAR)
   y= u;
else
   anm= [Anm; Anm];
   anm(:, 1)= -[u; u];
   yy= [1 zeros(1, MAR)];
   y= [];
   for n= 0:2*N-1
      y= [y; sum(-anm(n+1, :).*yy)];
      yy= [1 y(n+1) yy(2:MAR)];
   end;
   y= y(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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H= tvarma_impr(Anm, Bnm);
y1= H*e;
norm(y-y1)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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if(0)% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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y2= tvarma_gen([e; e], [Anm; Anm], [Bnm; Bnm]);
y2(1:N)-y2(N+1:2*N)
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end;% TEST TEST TEST TEST TEST TEST TEST TEST TEST TEST
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