y durbin and koopman but i forget the title exactly ).
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>
>
>
> - Original Message -
> From: "Øyvind Foshaug" <[EMAIL PROTECTED]>
> To:
> Sent: Monday, September 11, 2006 7:52 AM
> Subject: [R] estimating state space with exogenous input in measur
Message -
From: "Øyvind Foshaug" <[EMAIL PROTECTED]>
To:
Sent: Monday, September 11, 2006 7:52 AM
Subject: [R] estimating state space with exogenous input in measurement eq.
> Anyone know how to esimate parameters in the system:
>
> x[k]=Ax[k-1]+ B + Gv[k-1]
> y[k]=x[
Anyone know how to esimate parameters in the system:
x[k]=Ax[k-1]+ B + Gv[k-1]
y[k]=x[k]+Du[k]+Hw[k]
a system with exogenous u[k] in the measurement eq., v,w are iid, both eq.
are gaussian.
Thanks,
Oyvind
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[[al
