Anyone know how to esimate parameters in the system:
x[k]=Ax[k-1]+ B + Gv[k-1]
y[k]=x[k]+Du[k]+Hw[k]
a system with exogenous u[k] in the measurement eq., v,w are iid, both eq.
are gaussian.
Thanks,
Oyvind
---------------------------------
[[alternative HTML version deleted]]
______________________________________________
R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
