请教基于extended kalman filter的指数自回归模型的state space model怎么写?
这里是一个2nd order exponential autoregressive modely(t) = a1(t)+a2(t)*exp(-a3(t)*y(t-1)^2)*y(t-1)+a4(t)*exp(-a5(t)*y(t-1)^2)*y(t-2)+e(t);y(t)是观测值 a1 a2 a3 a4 a5是参数
我想把它代入extended kalman filter,请问state space model该怎么写?
会的高手能请帮下忙
多谢了.
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