ekomninos
Member level 1
Hi all,
I have a state space model of the form x(k+1)=Ax(k)+Bu(k)+w
and y(k)=Cx(k)+v
w,v white noise (0,σ^2) with covariance matrices Q, R respectively how can i pass from these form to an ARMA form?I have to find the transfer function of the system and the coefs of the num would be tha MA coefs and the coefs of the den would be the AR coefs?How does Q,R affect ARMA coefs?
thnx
I have a state space model of the form x(k+1)=Ax(k)+Bu(k)+w
and y(k)=Cx(k)+v
w,v white noise (0,σ^2) with covariance matrices Q, R respectively how can i pass from these form to an ARMA form?I have to find the transfer function of the system and the coefs of the num would be tha MA coefs and the coefs of the den would be the AR coefs?How does Q,R affect ARMA coefs?
thnx