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Measurement 的代码
expvol.m
function h=ExpVol(asset,lambda)
% The RiskMetrics approach to volatility measurement using exponential
% forecast
% asset is array of asset prices (generally daily close)
% Calculate asset retu
chap7_11.m
%Discrete Kalman filter for PID control
%Reference kalman_2rank.m
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sy
chap7_9.m
%Kalman filter
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
M=3000;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sys,ts,'z');
[num,den]=tfdata(dsys,'v');
chap7_10f.m
%Discrete Kalman filter
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
function [u]=kalman(u1,u2,u3)
persistent A B C D Q R P x
yv=u2;
if u3==0
x=zeros(2,1);
ts=0.001;
a=25;b=133;
sys=tf(b,[1,a
chap7_10.m
%Discrete Kalman filter for PID control
%Reference kalman_2rank.m
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sy
chap7_8.m
%Kalman filter
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
M=3000;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sys,ts,'z');
[num,den]=tfdata(dsys,'v');
chap7_11.m
%Discrete Kalman filter for PID control
%Reference kalman_2rank.m
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sy
chap7_9.m
%Kalman filter
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
M=3000;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sys,ts,'z');
[num,den]=tfdata(dsys,'v');
chap7_10f.m
%Discrete Kalman filter
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
function [u]=kalman(u1,u2,u3)
persistent A B C D Q R P x
yv=u2;
if u3==0
x=zeros(2,1);
ts=0.001;
a=25;b=133;
sys=tf(b,[1,a
chap7_10.m
%Discrete Kalman filter for PID control
%Reference kalman_2rank.m
%x=Ax+B(u+w(k));
%y=Cx+D+v(k)
clear all;
close all;
ts=0.001;
%Continuous Plant
a=25;b=133;
sys=tf(b,[1,a,0]);
dsys=c2d(sy