hank

//Example of how to use the hank macro for

            //building a Hankel matrix from multidimensional

            //data (covariance or Markov parameters e.g.)

            //

            //This is used e.g. in the solution of normal equations

            //by classical identification methods (Instrumental Variables e.g.)

            //

            //1)let's generate the multidimensional data under the form :

            //  C=[c_0 c_1 c_2 .... c_n]

            //where each bloc c_k is a d-dimensional matrix (e.g. the k-th correlation

            //of a d-dimensional stochastic process X(t) [c_k = E(X(t) X'(t+k)], '

            //being the transposition in scilab)

            //

            //we take here d=2 and n=64

            c = rand(2, 2 * 64)

            //generate the hankel matrix H (with 4 bloc-rows and 5 bloc-columns)

            //from the data in c

            H = hank(4, 5, c);