Dear Sir or Madam,
I find it is very helpful to use unscentedKalmanFilter/extendedKalmanFilter Objects in the signal processing toolbox for online estimation of the non-linear state space model. Does anyone know whether there are a built-in way to return the likelihood or log likelihood of the model? I ask this because I use these filtering techniques to estimate parameters of the state space model by minimizing its log likelihood. This toolbox can return the updated state vector and covariance matrix automatically, but I didn't find the corresponding likelihood of the modeling fitting.
Thank you very much!
Best, Hao
