I'm using Matlab 6.0 to perform Maximum Likelihood estimation
for identifying parameters.
The problem is that i am dealing with time varying parameters (which
are to be identified). and along with that other terms in matrices
(A,B,C,D,K) are also time varying. I am elaborating this as follows:
my system is of state space form:
dx/dt=f(x(t),aux(t),exi(t))
z=g(x(t))+eta(t)
I contacted Ljung who is the author of system identification toolbox.
but he could not satisfy me. He suggest that i should change the file
"gnnew.m", where 'ltti' function is used. but with that i could not
understand the algorithm behind such estimation.
so my main questions are:
. how can we use Matlab system identification toolbox to estimate
parameters of this kind.
. there is toolbox MMLE3 in Matlab. I want to know about this toolbox.
. what could be the suitable algorithm for this time varying problem.
. How can we change the matlab file "gnnew.m" for our case.
I also want to evaluate the Cramer-Rao bounds as a measure of the
parameter
accuracy. Does anyone know where I can get an algorithm to do this?
If anyone doing this kind of job plz contact with me.
Thanks,
Saqib Yousaf
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