Lessons in Estimation Theory for Signal Processing, Communications, and Control, Second Edition

Appendix B Estimation Algorithm M-files

Introduction

This appendix contains the listings of six estimation algorithm M-files that were written by Mitsuru Nakamura. These M-files do not appear in any MathWorks toolboxes or in MATLAB. To see the forest from the trees, we first provide a brief description of these M-files:

rwlse: a recursive weighted least-squares algorithm. When the weighting matrix is set equal to the identity matrix, we obtain a recursive least-squares algorithm; and when the weighting matrix is set equal to the inverse of the covariance matrix of the measurement noise vector, we obtain a recursive BLUE.

kf: a recursive Kalman filter that can be used to obtain mean-squared filtered estimates of the states of our basic state-variable ...