[求助]想把系统代入Extended Kalman filter,设计总是错误,请大家帮忙

terryzz5

系统是
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);

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.

能不能懂的人帮忙把应用到extended kalman filter 中的state space表达一下.

谢谢了.

[ 本帖最后由 xmwhit 于 2008-1-24 15:58 编辑 ]

terryzz5

这里是一个2nd order exponential autoregressive model
y(t) = a1(t)+a2(t)*exp(-a3(t)*y(t-1)^2)*y(t-1)+a4(t)*exp(-a5(t)*y(t-1)^2)*y(t-2)+e(t);  y(t)是观测值 a1 a2 a3 a4 a5是参数

我想把它代入extended kalman filter,请问state space model该怎么写?
会的高手能请帮下忙

多谢了.