mvfilter.m

MATLAB的时间序列分析相关函数,涵盖对时间序列分析所需要所有重要函数

function [x,z]=mvfilter(B,A,x,z)
% Multi-variate filter function
%
% Y = MVFILTER(B,A,X)
% [Y,Z] = MVFILTER(B,A,X,Z)
%
%  Y = MVFILTER(B,A,X) filters the data in matrix X with the
%    filter described by cell arrays A and B to create the filtered
%    data Y.  The filter is a "Direct Form II Transposed"
%    implementation of the standard difference equation:
% 
%    a0*Y(n) = b0*X(:,n) + b1*X(:,n-1) + ... + bq*X(:,n-q)
%                        - a1*Y(:,n-1) - ... - ap*Y(:,n-p)
%
%  A=[a0,a1,a2,...,ap] and B=[b0,b1,b2,...,bq] must be matrices of
%  size  Mx((p+1)*M) and Mx((q+1)*M), respectively. 
%  a0,a1,...,ap, b0,b1,...,bq are matrices of size MxM
%  a0 is usually the identity matrix I or must be invertible 
%  X should be of size MxN, if X has size NxM a warning 
%  is raised, and the output Y is also transposed. 
%
% A simulated MV-AR process can be generiated with 
%	Y = mvfilter(eye(M), [eye(M),-AR],randn(M,N));
%
% A multivariate inverse filter can be realized with 
%       [AR,RC,PE] = mvar(Y,P);
%	E = mvfilter([eye(M),-AR],eye(M),Y);
%
% see also: MVAR, FILTER

%	$Id: mvfilter.m 5090 2008-06-05 08:12:04Z schloegl $
%	Copyright (C) 1996-2003 by Alois Schloegl <[e-mail]>	
%
%    This program is free software: you can redistribute it and/or modify
%    it under the terms of the GNU General Public License as published by
%    the Free Software Foundation, either version 3 of the License, or
%    (at your option) any later version.
%
%    This program is distributed in the hope that it will be useful,
%    but WITHOUT ANY WARRANTY; without even the implied warranty of
%    MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
%    GNU General Public License for more details.
%
%    You should have received a copy of the GNU General Public License
%    along with this program.  If not, see <http://www.gnu.org/licenses/>.


[ra, ca] = size(A);
[rb, cb] = size(B);
[M,  N ] = size(x);

if (ra~=rb),
        fprintf(2,'ERROR MVFILTER: number of rows of A and B do not fit\n');
	return;
end;
if nargin<4,
        z = []; %zeros(M,oo);
end;

if (M~=ra),
	if (N==ra),
	        fprintf(2,'Warning MVFILTER: dimensions fit only to transposed data. X has been transposed.\n');
		x = x.';
		%[x,z] = mvfilter(B,A,x,z); x = x.'; return;
	else
	        fprintf(2,'ERROR MVFILTER: dimensions do not fit\n');
		return;
	end;
end;        

p  = ca/M-1;
q  = cb/M-1;
oo = max(p,q);

if isempty(z)
        z = zeros(M,oo);
else
        if  any(size(z)~=[M,oo])
                fprintf('Error MVFILTER: size of z does not fit\n');
                [size(z),oo,M]
                return;
	end;	
end;

%%%%% normalization to A{1}=I;
if p<=q, 
        for k=1:p,
                %A{k}=A{k}/A{1};
                A(:,k*M+(1:M)) = A(:,k*M+(1:M)) / A(:,1:M);
        end;
	A(:,1:M) = eye(M);
else
        for k=0:q,
                %B{k}=B{k}/A{1};
                B(:,k*M+(1:M)) = B(:,k*M+(1:M)) / A(:,1:M);
        end;
end; 

for k = 1:N,
        acc = B(:,1:M) * (x(:,k) + z(:,1));  % / A{1};
	z   = [z(:,2:oo), zeros(M,1)];
        for l = 1:q,
        	z(:,l) = z(:,l) + B(:,l*M+(1:M)) * x(:,k);
        end;
        for l = 1:p,
        	z(:,l) = z(:,l) - A(:,l*M+(1:M)) * acc;
        end;
        x(:,k) = acc;
end;