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Kalman Filter Tunning

I am trying to figure out a problem with Kalman Filter in Matlab. I have two time series as input y(t) and x(t). I want to regress these data and get B (beta) with Kalman Filter in the following form:

y(t) = B*x(t) + e

- y(t) is my observable vector

- B is my hidden variable that the variable that I want to obtain

I have been applying Kalman Filter in Matlab to solver my problem and I stuck because I do not which value of the covariance matrix I should use. I got a book with a recommendations values but the problems has not been solver yet.

The book suggests Montana formula to initialize the covariance matrix but I do not really like the results. Surfing on the internet, I found a good Matlab toolbox that helps to solve my problem and I do not how to use it. The web site is:

[url removed, login to view]

If anyone wants to give me a hand is my project, please contact me.

The code I wrote in Matlab is:

x=[x ones(size(x))];

delta=0.0001; % delta=1 gives fastest change in beta, delta=0.000....1 allows no change (like traditional linear regression).

yhat=NaN(size(y)); % measurement prediction

e=NaN(size(y)); % measurement prediction error

Q=NaN(size(y)); % measurement prediction error variance

% initialize R, P and beta.



beta=NaN(2, size(x, 1));



% Initialize beta(:, 1) to zero

beta(:, 1)=0;

% Given initial beta and R (and P)

for t=1:length(y)

if (t > 1)

beta(:, t)=beta(:, t-1); % state prediction.

R=P+Vw; % state covariance prediction.


yhat(t)=x(t, :)*beta(:, t); % measurement prediction.

Q(t)=x(t, :)*R*x(t, :)'+Ve; % measurement variance prediction.

% Observe y(t)

e(t)=y(t)-yhat(t); % measurement prediction error

K=R*x(t, :)'/Q(t); % Kalman gain

beta(:, t)=beta(:, t)+K*e(t); % State update.

P=R-K*x(t, :)*R; % State covariance update.


After that I'd like to graph e (error) and see a stationary series with too much volatility. Now, I graph e and get a stationary low volatile series. I think the results depend of the value of delta and Ve.

If you want more references, please go to the following websites:

[url removed, login to view]

[url removed, login to view]

Compétences : Algorithme, Electronique, Mathématiques, Matlab and Mathematica, Statistiques

Voir plus : which graph to use for data, vector of ones, solve graph problems, problem graph, how to graph data, how do you graph data, graph problem, delta com, filter kalman excel, bierman filter kalman, filter kalman, filter kalman tracking, filter kalman object tracking, filter design matlabdesign linear phase fir lpf, matlab linear filter, matlab linear phase filter, linear phase filter matlab

Concernant l'employeur :
( 3 commentaires ) Quito, Ecuador

N° du projet : #8473051

Décerné à :


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100 $ USD en 3 jours
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15 freelance ont fait une offre moyenne de 182 $ pour ce travail


Hi. I am sure I can do this. Regards...................................................................

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280 $ USD en 3 jours
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145 $ USD en 3 jours
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I had done MS in digital Signal Processing. Also I had several years of experience in the field of Digital Signal Processing using Matlab. I can do this task for you.

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252 $ USD en 3 jours
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Hello, I am expert in matlab and mathematics I have a lot of experiences in many fields. I can help you well. Please contact me. Best regards.

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244 $ USD en 7 jours
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Hi, I am an expert in Kalman filter. I have much experience in task similar your project. I can do it accurately. Regards

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Hi, This is Santhosh from India. I am a Business Management Graduate with Computer Science engineering background who is passionate about Data, Mathematics and Technology. I have worked in few data analytics pro Plus

155 $ USD en 3 jours
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I am expert in Kalman Filter. I have ever made matlab code that analysis individual amino acids from UV result of complicated amino acid solution by using kalman filter. That was very similar to your project. Thank Plus

333 $ USD en 1 jour
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I'm graduated electronic engineer. I have implemented kalman filters for several applications. Line Quadcopter state(position,velocity etc.. ) estimation and A HRS implementation. I read your work and I can help you w Plus

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Dear Sir, I will try to do your job and report back in 3-4 days. If I could do something and I am sure of doing it,I i will send you some result. regards TAB

200 $ USD en 10 jours
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Hi, there. Your problem is really simple so it's a piece of cake for me. In fact, when I studied in university, I used to solve that kind of problems for nothing for any person because it's very funny for me and good Plus

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i still doing my thesis about kalman filter

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222 $ USD en 3 jours
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having keen interest in kalman filtering and simulation in Matlab . as i had done research in this area, Contact me for quality of work with reasonable price. thanks

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