Description: A continuous stationary random signal x (t), the autocorrelation function RX (t) = e-/ t /, the signal x (t) is additive noise of the interference, noise is white noise, the measured value of the discrete values Z (k ) are known, TS = 0.02s.
-3.2,-0.8,-14,-16,-17,-18,-3.3,-2.4,-18,-0.3,-0.4,-0.8,-19,-2.0,-1.2,-11,-14 ,-0.9,0.8,10,0.2,0.5,-0.5,2.4,-0.5,0.5,-13,0.5,10,-12,0.5,-0.6,-15,-0.7,15,0.5,-0.7,-2.0,-19,-17,-11,-14.
Self Kalman filter recursive procedure, the estimated signal x (t) waveform.
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kalman.m
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