Large Inverse Cholesky

Computes the coefficient matrices of Structured Vector Autoregressive Model

This function computes the coefficient matrices for the Structured Auto-regressive Model given as follows:

L*x(n) = t + sum_{i=1}^K R(:,:,i)*x(n-i) + w(n)

n = [1,N]; x(n), w(n) are complex vectors C^{Mx1}, and covariance matrix of w(n) is identity matrix (D = I).

Aravindh Krishnamoorthy
On Coefficient Matrices Computation of Structured Vector Autoregressive Model, arXiv:1309.6290.