phc(1)

NAME
phc - from the hankel matrix to state-space model

CALLING SEQUENCE
[H,F,G]=phc(hk,d,r)

PARAMETERS

hk  : hankel matrix

d   : dimension of the observation

r   : desired dimension of the state vector for the approximated model

H, F, G
    : relevant matrices of the state-space model

DESCRIPTION
function which computes the matrices H, F, G by the principal hankel component approximation method, from the hankel matrix built from the covariance sequence of a stochastic process.

AUTHOR
G. Le V.