CovarianceFunction2DigitalFilter

Computes digital filter coefficients for a digital filter of given degree and order. The filter coefficients are computed by fitting them to an approximated impulse response represented by the cholesky factor of the covariance matrix.

The parameter warmup determines from which element of the cholesky matrix the coefficients (default: half the covariance length) are fitted.

Per default, the program computes filter coefficients which generate colored noise when applied to a white noise sequence. When decorrelationFilter is set, a decorrelation filter is computed which yields white noise when applied to colored noise.

Name	Type	Annotation
outputfileFilter	filename	filter coefficients
inputfileCovariance	filename	first column: time steps, following columns: covariance functions
column	uint	Column with covariance function to be fitted
warmup	uint	number of samples until diagonal of Cholesky factor is flat (default: half covariance length)
numeratorDegree	uint	Maximum degree of numerator polynomial (MA constituent)
denominatorDegree	uint	Maximum degree of denominator polynomial (AR constitutent)
decorrelationFilter	boolean	compute a decorrelation filter