can anyone help design a state space model applying into Extended Kalman Filter
- From: Terry <terryzz24@xxxxxxxxx>
- Date: Mon, 21 Jan 2008 07:41:31 -0800 (PST)
x1(t) = x2(t)+x3(t)*exp(-x4(t)*x1(t-1)^2)*x1(t-1)+x5(t)*exp
(-x6(t)*x1(t-1)^2)*x1(t-2) + randn*v1;
x2(t) = x2(t-1) + randn*v2;
x3(t) = x3(t-1) + randn*v3;
x4(t) = x4(t-1) + randn*v4;
x5(t) = x5(t-1) + randn*v5;
x6(t) = x6(t-1) + randn*v6;
x2 x3 x4 x5 x6 follows a random walk.
I tried many ways but alway wrong. Can anyone help design a
state space model applied by Extended kalman filter? Many
many thanks
.
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