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Signal/Noise Ratio & Kalman Filter

Posted: Sat Feb 15, 2014 10:26 am

by adam_s_t

Does anybody know how to directly restrict the signal/noise ratio when estimating using a Kalman filter model?

Thanks

Re: Signal/Noise Ratio & Kalman Filter

Posted: Mon Feb 24, 2014 11:44 am

by trubador

Code: Select all

@signal y = x +...+ [var = 100*exp(c(1))]
@state x = ... + [var = ex(c(1))]

You can use whatever ratio you want other than 100.