MATLAB Answers

How to return likelihood using unscentedK​almanFilte​r/extended​KalmanFilt​er Object in the signal processing toolbox?

조회 수: 2(최근 30일)
Hao Chang
Hao Chang 2 Jan 2018
편집: Nick Sarnie 4 Jan 2018
Dear Sir or Madam,
I find it is very helpful to use unscentedKalmanFilter/extendedKalmanFilter Objects in the signal processing toolbox for online estimation of the non-linear state space model. Does anyone know whether there are a built-in way to return the likelihood or log likelihood of the model? I ask this because I use these filtering techniques to estimate parameters of the state space model by minimizing its log likelihood. This toolbox can return the updated state vector and covariance matrix automatically, but I didn't find the corresponding likelihood of the modeling fitting.
Thank you very much!
Best, Hao
  댓글 수: 1
Hao Chang
Hao Chang 2 Jan 2018
I forgot to attach the documents of these two functions, which are:
Unsecented Kalman Filter: https://www.mathworks.com/help/control/ref/unscentedkalmanfilter.html
Extended Kalman fiture: https://www.mathworks.com/help/ident/ref/extendedkalmanfilter.html
Thanks.

댓글을 달려면 로그인하십시오.

답변(1개)

Nick Sarnie
Nick Sarnie 4 Jan 2018
편집: Nick Sarnie 4 Jan 2018
Hi Hao,
I wasn't able to find any documentation relating to likelihood or log likelihood for the unscentedKalmanFilte and extendedKalmanFilter objects. Could please go into more detail on that?

태그

아직 태그를 입력하지 않았습니다.

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by