How can I estimate Kalman Filter with log-likelihood function?

4 views (last 30 days)
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

Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!