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Topic: System identification TBx
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Catherine Marselli

Posts: 4
Registered: 12/7/04
System identification TBx
Posted: Jul 14, 1997 2:17 PM
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I use the system identification toolbox in order to find ARMA models for random processes.

One I know the number of poles and zeros of my model, I use the state description of the model because I put it in a Kalman filter.

I understand how the matrix A (dynamic matrix),K (noise coupling matrix) and C (measurement sensitivity matrix) of the state-space model are constructed. However, I have the following problem :

when designing the Kalman filter how should I compute the Q matrix (covariance matrix of the system noise), regarding the parameters given by matlab (e.g., K, strength of white noise)) ?

Thanks a lot for your help.

Catherine Marselli

Catherine Marselli
Institute of Microtechnology
Breguet 2
CH-2000 Neuchatel

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