March 2015
Beginner to intermediate
840 pages
25h 12m
English
The estimation problem is generalized by combining the cases described in Sections 3.2 and 3.3. We consider the dynamic system (3.3.1), which connects two sequential state vectors
, and an extension of the measurement model (3.3.2),
The extended model incorporates time-varying parameter
and a time-invariant
-dimensional parameter
. The matrix
has dimensions
by
. Actually, we can formally assume a “very slow” dynamics for parameter
, and write dynamics equations as
where the error is zero. The last requirement can be taken into account ...
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