blkhankel.m

The main features of the considered identification problem are that there is no an a priori separati

function H = blkhankel(w,i)
% BLKHANKEL - construct a block Hankel matrix

[T,nw,k]  = size(w);
j = T - i + 1;
if j <= 0
  error('Not enough data')
end
H = zeros(i*nw,j*k);
if (k > 1) % multiple time series => block matrix
  w = reshape(shiftdim(w,1),nw,k*T);
  for ii = 1:i
    H((ii-1)*nw+1:ii*nw,:) = w(:,(ii-1)*k+1:(ii+j-1)*k);
  end
else % simgle time series => block vector
  w = w';
  for ii = 1:i
    H((ii-1)*nw+1:ii*nw,:) = w(:,ii:ii+j-1);
  end
end