www.pudn.com > kalmanmatalab.rar > SS_to_AR.m, change:2000-04-24,size:579b

function [coef, C] = SS_to_AR(F, Q, k, diagonal) % % Extract the parameters of a vector autoregresssive process of order k from the state-space form. % [coef, C] = SS_to_AR(F, Q, k, diagonal) if nargin<4, diagonal = 0; end s = length(Q) / k; bs = s*ones(1,k); coef = zeros(s,s,k); for i=1:k if diagonal coef(:,:,i) = diag(diag(F(block(1,bs), block(i,bs)))); else coef(:,:,i) = F(block(1,bs), block(i,bs)); end end C = Q(block(1,bs), block(1,bs)); if diagonal C = diag(diag(C)); end %C = sqrt(Q(block(1,bs), block(1,bs))); % since cov(1,1) of full vector = C C'