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See the recommended documentation of this function

Scilab help >> Signal Processing > filters > srfaur

# srfaur

### Calling Sequence

`[p,s,t,l,rt,tt]=srfaur(h,f,g,r0,n,p,s,t,l)`

### パラメータ

h, f, g

r0

E(yk*yk').

n

p

n回の反復後の解の推定値.

s, t, l

rt, tt

`n`回の反復後のフィルタモデルのゲイン行列.

p, s, t, l

### 例

```//信号を生成
x=%pi/10:%pi/10:102.4*%pi;
rand('seed',0);rand('normal');
y=[1;1]*sin(x)+[sin(2*x);sin(1.9*x)]+rand(2,1024);

//相関を計算
c=[];for j=1:2,for k=1:2,c=[c;corr(y(k,:),y(j,:),64)];end;end
c=matrix(c,2,128);

//状態量6の H,F,G を計算
hk=hank(20,20,c);
[H,F,G]=phc(hk,2,6);

//リカッチ方程式を解く
r0=c(1:2,1:2);
[P,s,t,l,Rt,Tt]=srfaur(H,F,G,r0,200);

//厳密に対称な共分散行列を作成
Rt=(Rt+Rt')/2```

### 参照

• phc — Markovian表現
• faurre — Faurreアルゴリズムによりフィルタの計算
• lindquist — Lindquistのアルゴリズム

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