Matlab: Program returns garbage values, Help in proper execution of Kalman Filter and parameter estimation
问题 I have implemented the Kalman Smoothing with Expectation Maximization based on the Paper Parameter Estimation for Linear dynamical system. All notations are based on this paper. The model is an IIR (AR(2)) filter y(t) = 0.195 *y(t-1) - 0.95*y(t-2) + w(t) The state space representation: x(t+1) = a^Tx(t) + w(t) y(t) = C(t) + v(t) The state space model : x(t+1) = Ax(t) + w(t) y(t) = Cx(t) + v(t) w(t) = N(0,Q) is the driving process noise v(t) = N(0,R) is the measurement noise Re-writing the AR