28 lines
779 B
Matlab
28 lines
779 B
Matlab
function vecH_hat = computeH(Xc, Yc, E_z, E_zz, RR)
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%vecH_hat = computeH(Xc, Yc, E_z, E_zz, RR)
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fprintf('You are running the Matlab version of function ''computeH''. This program will run very slowly.... \nI recommend that you try to compile the CMEX code on your platform using command ''mex computeH.c'' (''mex computeH.c -l matlb'' under Unix)\n\n');
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K = size(E_z,1);
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J = size(Xc,2);
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T = size(Xc,1);
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KK2 = zeros(3*J*(K+1), 3*J*(K+1));
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KK3 = zeros(3*J, K+1);
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for t=1:T
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P_t = [Xc(t,:); Yc(t,:)];
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zz_hat_t = [1 E_z(:,t)'; E_z(:,t) E_zz((t-1)*K+1:t*K,:)];
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R_t = [RR(t, :); RR(t+T, :)];
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KK1 = kron(speye(J), R_t);
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KK2 = KK2 + kron(zz_hat_t', KK1'*KK1);
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KK3 = KK3 + KK1'* P_t(:) * [1 E_z(:,t)'];
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end
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vecH_hat = pinv(KK2) * KK3(:);
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