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how to implement moving window

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dab483
dab483 on 17 Apr 2013
Hi, I have a question regarding moving window implementation. I have this equation. how to implement/coding it in Matlab where m = window size; k=epoch ?
C = 1/m * (summation(i=1 to m) of V(k-i)*V(k-i)')
where V is the residual between observation and measurement size 3x1
Any advise? Thank you.
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dab483
dab483 on 18 Apr 2013
Hi, Actually i am implementing extended kalman filter. i am extending it to estimate QekfA(:,:,t) where have moving window as shown below in AAA. i have no idea how i should continue this..Need help to continue this.
for t=2:T
mu_ekfPred(:,t) = feval('ffunasp',mu_ekf(:,t-1),t);
Ax_ekf = ....
PPred_ekf(:,:,t) = QekfA(:,:,t-1) + Ax_ekf*P_ekf(:,:,t-1)*Ax_ekf';
Cy_ekf = [0 0 1 0];
yPred_ekf(:,t) = Cy_ekf*mu_ekfPred(:,t);
M_ekf = Rekf + Cy_ekf*PPred_ekf(:,:,t)*Cy_ekf';
K_ekf = PPred_ekf(:,:,t)*Cy_ekf'*(M_ekf^(-1));
mu_ekf(:,t) = mu_ekfPred(:,t) + K_ekf*(y(:,t)-yPred_ekf(:,t));
P_ekf(:,:,t) =(eye(4)-K_ekf*Cy_ekf)*PPred_ekf(:,:,t)......
QekfA(:,:,t)=QekfA(:,:,t-1)*sqrt(AAA)
end
where AAA = 1/m * (summation(i=1 to m) of V(t-i)*V(t-i)') - Rekf
where V(t-i) = residual = y(:,t)-yPred_ekf(:,t)

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