sigex.blocktoep: Generates lower triangular array for block Toeplitz matrix

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Generates lower triangular array for block Toeplitz matrix

Description

Background: Given a sequence of matrix gamma(0), gamma(1),...,gamma(k) a block Toeplitz matrix has the form [ gamma(0), t(gamma(1)),...,t(gamma(k)) ] [ gamma(1), gamma(0),...,t(gamma(k-1)) ] [ gamma(k),...,gamma(0)]

Usage

sigex.blocktoep(x.array)

Arguments

x.array

Array of dimension N x N x H, where x.array[,,1] is gamma(0)

Details

Notes: presumes that gamma(0) is symmetric

Value

x.toep: array of dimension N x H x N x H, where x.toep[,j,,k]

jlivsey/sigex documentation built on May 25, 2024, 4:17 a.m.