psd_amendmentcovariance.m

基于AR模型的现代谱估计

function [ap_amcova, en_amcova] = psd_amendmentcovariance(xn, p);
%[ap_corr, en_corr] = psd_amendmentcovariance(xn, p) use the amendment covariance
%method to estimate the psd of signal xn with a p phase AR model
%ap_amcorr is the AR coiefficients
%en_amcorr is the deviation estimated

%caculate the  amendment covariance matrix Cxx
N=length(xn);
Cxxam=zeros(p+1);
Cxdam=zeros(p,1);
C0kam=zeros(1,p+1);
for j=0:p
    for k=0:p
        for m=p:(N-1)
            Cxxam(j+1,k+1)=Cxxam(j+1,k+1)+xn(m-j+1)*xn(m-k+1);
        end
        for m=0:(N-p-1)
            Cxxam(j+1,k+1)=Cxxam(j+1,k+1)+xn(m+j+1)*xn(m+k+1);
        end
    end
end
Cxxam = Cxxam/(N-p)/2;
Cxdam = Cxxam(2:(p+1),1);
C0kam = Cxxam(1,:);
ap_amcova = -(inv(Cxxam((2:p+1),(2:p+1))))*Cxdam;
en_amcova = C0kam(1)+C0kam(2:(p+1))*ap_amcova;