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kalman filter

Posted: Fri Aug 26, 2011 3:42 am
by lisa
hello,
when we estimate a model whith kalman filter, we write for example
@signal x=sv1*x(-1)+sv2*x(-2)+[var=exp(c(1))]
what does mean c(1) and how can I obtain the variance using c(1)
thanks

Re: kalman filter

Posted: Fri Aug 26, 2011 5:59 am
by startz
This is a trick to ensure a positive variance. The variance is e^c(1).

Re: kalman filter

Posted: Sun Aug 28, 2011 12:30 am
by lisa
thank you startz :)