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Matlab routines

high resolution tools.zip — This zip file contains all the Matlab routines for spectral estimation. A table of contains of the main files are listed in below.

file name	description
`me.m`	maximum entropy spectrum
`sm.m`	signal subspace method
`envlp.m`	spectral entropy method
`music.m`,	MUSIC method, written by R. Moses
`esprit.m`	ESPRIT method, written by R. Moses
`cjordan.m`	generates a controllable pair that could be complex valued matrices
`rjordan.m`	generates a controllable pair that that are real valued matrices
`mjordan.m`	matrix version of `cjordan.m` with a Jordan block-matrix
`dlsim_complex.m`	build sample state-covariance matrix for complex valued processes
`dlsim_real.m`	build sample state-covariance matrix for real valued process
`commutant.m`	projects a sample state-covariance into a structured one
`ToepProj.m`	projects a sample covariance into a Toeplitz structured one
`MA_decomp.m`	moving-average decomposition of Toeplitz covariance matrix.

CovEst.zip — This zip file contains all the Matlab routines for covariance estimation. Some of the routines need the convex optimization tool cvx. A table of contains of the main files are listed in below.

file name	description
`CovEst_blw.m`	maximum likelihood estimation, see Burg et al.
`CovEst_kl.m`	minimum Kullback-Leibler divergence
`CovEst_transp.m`	minimum transportation distance
`CovEst_Q.m`	$min_{Tin mathcal{T}, Q} {{rm tr}(Q) ~mid~ hat{T}=T+Q, Qgeq 0 }$
`CovEst_QQh.m`	$min_{Tin mathcal{T}, Q,hat{Q}} {{rm tr}(Q+hat{Q}) ~mid~ hat{T}+hat{Q}=T+Q, Q,hat{Q}geq0 }$
`SCovEst_Q.m`	state-covariance version of `CovEst_Q.m`
`SCovEst_QQh.m`	state-covariance version of `CovEst_QQh.m`

code1

Demo.m — This file generates the examples in the HiResSpecAn. The figures can be reproduced using this data.