1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
|
function K = BuildMarkovK(n,r,var)
% K = BuildMarkovK(n,r,var)
% K = BuildMarkovK(r,var)
%
% Build the covariance matrix for a Markov process as defined in Pratt, pp.
% 131 ff.
%
% This routine has two calling forms. In the first form, three arguments
% are passed and the random variables are assumed to have the save
% variance. Thus the passed var is a scalar.
%
% In the second form, the passed var is a column vector containing the
% variances of the individual random variables.
%
% 8/19/94 dhb Wrote it.
% 2/6/96 dhb Second calling form.
% 7/24/04 awi Cosmetic.
% K = BuildMarkovK(n,r,var)
if (nargin == 3)
if (length(var) ~= 1)
disp('BuildMarkovK: Three arg calling form requires var be a scalar');
error('K = BuildMarkovK(n,r,var)');
end
column = r .^ [0:n-1]';
K = var*toeplitz(column);
% K = BuildMarkovK(r,var)
else
var = r;
r = n;
n = length(var);
sd = var.^0.5;
column = r .^ [0:n-1]';
var_var = sd*sd';
K = var_var .* toeplitz(column);
end
|
