How can I estimate Kalman Filter with log-likelihood function?
1 vue (au cours des 30 derniers jours)
Afficher commentaires plus anciens
Hi, I have to estimate the following Kalman Filter using a maximum likelihood approach. x(t+1) = A*x(t) + w(t), w ~ N(0, Q), x(0) ~ N(init_x, init_V) y(t) = C*x(t) + v(t), v ~ N(0, R)
where A is a (1x2) vector and x(t) is a (2x1) vector I have y(t) and I need to estimate x(t), A, C, Q, R
how do I write my log-likelihood function so that it finds the parameters which maximize the function?
thank you
0 commentaires
Réponses (0)
Voir également
Catégories
En savoir plus sur Online Estimation dans Help Center et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!