Find likelihood from state space with Kalman filter
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Hi everyone,
I'm struggeling to find the correct solution approach for my problem, despite screening the forum for an answer. I have a state space system with the respective A, B, C and D matrices and successfully used
state_space = ssm(A,B,C,D) ;
The respictive sizes of the matrices are:
>> size(A)
ans =
27 27
>> size(B)
ans =
27 9
>> size(C)
ans =
9 27
>> size(D)
ans =
9 9
There is also an observation matrix y which is a 155 x 9 matrix. Can anyone point me into the right direction how I can find the likelihood function of this system, using the Kalman filter. Or would I have to code this myself, as there's no command available? Many thanks for your help!
Rob
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