[R] estimating state space with exogenous input in measurement eq.

From: Řyvind Foshaug <oyvfos_at_yahoo.no>
Date: Mon 11 Sep 2006 - 11:52:43 GMT


Anyone know how to esimate parameters in the system:    

  x[k]=Ax[k-1]+ B + Gv[k-1]
  y[k]=x[k]+Du[k]+Hw[k]    

  a system with exogenous u[k] in the measurement eq., v,w are iid, both eq. are gaussian.    

  Thanks,
  Oyvind                      


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