ITE / code / shared / basis_transformation_AR.m

function [F_transformed] = basis_transformation_AR(F,A,invA)
%Basis transformation of AR processes: [F_1,...,F_L] -> [A*F_1*A^{-1},...,A*F_L*A^{-1}]
%
%Copyright (C) 2012 Zoltan Szabo ("http://nipg.inf.elte.hu/szzoli", "szzoli (at) cs (dot) elte (dot) hu")
%
%This file is part of the ITE (Information Theoretical Estimators) Matlab/Octave toolbox.
%
%ITE is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by
%the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
%
%This software is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of
%MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU General Public License for more details.
%
%You should have received a copy of the GNU General Public License along with ITE. If not, see <http://www.gnu.org/licenses/>.

D = size(F,1);%dimension of the AR process
L = size(F,2)/D;%AR order

%F[z] -> A * F[z] * A^{-1}:
    F_transformed = A * F;
    for k = 1 : L
       F_transformed(:,(k-1)*D+1:k*D) =  F_transformed(:,(k-1)*D+1:k*D) * invA;
    end
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