Compute optimal filter gain and state estimate for sequences

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Reference no: EM131465512

Question: The first-order system of Problem is driven by a white random disturbance wk-i, with E(wk) = 0 and E(w2k)= 1. Its measurement is corrupted by the time-correlated error nk, where

n_k = 0.2 n_k-1 + 0.8 v_k-1

And vk-1 is a white random sequence, with E(vk) = 0and E(v2k) = 0.1. Generate 50 samples of zk for typical values of wk-1 and wk. Compute optimal filter gains and state estimates for the sequence.

Reference no: EM131465512

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