kalman_demo1.m

卡尔曼滤波和自适应滤波 y

n=30;
for i=2:n+1
    A(i)=1;C(i)=1;Q(i)=0.36;R(i)=1;
end
% Y=ones(1,n+1);
Y=1+0.3*randn(1,n+1);
x1=Y(1); p1=1;

[X,P,H]=kalman(Y,A,C,Q,R,x1,p1)
plot(X,'^');   
hold on
%　
plot(Y,'r')  
echo on
X(n+1)
P(n+1)
echo off
clear
% by yyu 2006.3.19