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Large Inverse Cholesky

version (1.52 KB) by Aravindh Krishnamoorthy
Computes the coefficient matrices of Structured Vector Autoregressive Model


Updated 29 Oct 2013

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This function computes the coefficient matrices for the Structured Auto-regressive Model given as follows:

L*x(n) = t + sum_{i=1}^K R(:,:,i)*x(n-i) + w(n)

n = [1,N]; x(n), w(n) are complex vectors C^{Mx1}, and covariance matrix of w(n) is identity matrix (D = I).

Aravindh Krishnamoorthy
On Coefficient Matrices Computation of Structured Vector Autoregressive Model, arXiv:1309.6290.

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MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux

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