noise in the state equation of a state space model

Discussion in 'MATLAB' started by keek79, Aug 18, 2006.

  1. keek79

    keek79 Guest

    Hi, I would like to estimate the following linear state space model:

    x(t+1) = A x(t) + w(t) (state equation)
    y(t) = C x(t) + D u(t) + e(t) (measurement equation).

    However, I have only found the models idss and idgrey, which implement
    the model (according to the matlab help):

    x(t+1) = A x(t) + B u(t) + K e(t) (state equation)
    y(t) = C x(t) + D u(t) + e(t) (measurement equation).

    Thus it seems to me that it is not possible to have a noise term in the
    state equation, which is independent from the noise in the measurement
    equation. Is that true? I would appreciate any suggestions.

    Best regards,
    keek79, Aug 18, 2006
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