Optimal Kalman Filter for nonscalar system estimation
by Sasha Zorin
12 Sep 2007
(Updated 13 Sep 2007)
Example calculation of time dependence of system variations is presented.
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| Description |
The example of optimal Kalman filtering is considered. Assume some nonscalar complex system to analyze usability of optimal Kalman filter for estimates obtaining. As measure of estimates presision and robustness is covariance matrix diagonal (related with system variations) time dependence.
Particular components of system provide good estimates by filtering, another not.
Conclude that effectiveness of filter usage depends on system. |
| MATLAB release |
MATLAB 7 (R14)
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| Comments and Ratings (1) |
| 13 Oct 2007 |
Ihsan ulhaq
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