function?[FHQRinitx?initV]?=?AR_to_SS（coef?C?y）
%
%?Convert?a?vector?auto-regressive?model?of?order?k?to?state-space?form.
%?[FHQR]?=?AR_to_SS（coef?C?y）
%?
%?X（i）?=?A（1）?X（i-1）?+?...?+?A（k）?X（i-k+1）?+?v?where?v?~?N（0?C）
%?and?A（i）?=?coef（::i）?is?the?weight?matrix?for?i?steps?ago.
%?We?initialize?the?state?vector?with?[y（:k）‘?...?y（:1）‘]‘?since
%?the?state?vector?stores?[X（i）?...?X（i-k+1）]‘?in?order.

[s?s2?k]?=?size（coef）;?%?s?is?the?size?of?the?state?vector
bs?=?s?*?ones（1k）;?%?size?of?each?block

F?=?zeros（s*k）;
for?i=1:k
???F（block（1bs）?block（ibs））?=?coef（::i）;
end
for?i=1:k-1
??F（block（i+1bs）?block（ibs））?=?eye（s）;
end

H?=?zeros（1*s?k*s）;
%?we?get?to?see?the?most?recent?component?of?the?state?vector?
H（block（1bs）?block（1bs））?=?eye（s）;?
%for?i=1:k
%??H（bl

?屬性????????????大小?????日期????時間???名稱
-----------?---------??----------?-----??----

?????文件???????1107??2003-05-28?19:19??Kalman_matlab\AR_to_SS.m

?????文件????????425??2003-05-28?19:19??Kalman_matlab\convert_to_lagged_form.m

?????文件????????354??2003-05-28?19:19??Kalman_matlab\ensure_AR.m

?????文件???????1045??2003-05-28?19:19??Kalman_matlab\eval_AR_perf.m

?????文件????????733??2003-05-28?19:19??Kalman_matlab\gaussian_prob.m

?????文件???????2899??2003-05-28?19:19??Kalman_matlab\kalman_filter.m

?????文件???????2392??2003-05-28?19:19??Kalman_matlab\kalman_forward_backward.m

?????文件???????1584??2003-05-28?19:19??Kalman_matlab\kalman_smoother.m

?????文件???????1840??2003-05-28?19:19??Kalman_matlab\kalman_update.m

?????文件???????1022??2003-05-28?19:19??Kalman_matlab\learning_demo.m

?????文件????????819??2003-05-28?19:19??Kalman_matlab\learn_AR.m

?????文件????????687??2003-05-28?19:19??Kalman_matlab\learn_AR_diagonal.m

?????文件???????5498??2003-05-28?19:19??Kalman_matlab\learn_kalman.m

?????文件????????898??2003-05-28?19:19??Kalman_matlab\plotgauss2d.m

?????文件????????507??2003-05-28?19:19??Kalman_matlab\plot_ellipse.m

?????文件????????535??2003-05-28?19:19??Kalman_matlab\README

?????文件????????505??2007-01-10?04:09??Kalman_matlab\sample_gaussian.m

?????文件???????1797??2003-05-28?19:19??Kalman_matlab\sample_lds.m

?????文件???????1199??2003-05-28?19:19??Kalman_matlab\smooth_update.m

?????文件????????579??2003-05-28?19:19??Kalman_matlab\SS_to_AR.m

?????文件???????1989??2012-06-18?16:19??Kalman_matlab\tracking_demo.asv

?????文件???????1989??2012-06-18?16:20??Kalman_matlab\tracking_demo.m

?????目錄??????????0??2012-06-18?16:14??Kalman_matlab

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????????????????30403????????????????????23