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)