how to implement moving window

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dab483 2013-4-17

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https://ww2.mathworks.cn/matlabcentral/answers/72446-how-to-implement-moving-window

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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Jan 2013-4-17

What did you try so far?

dab483 2013-4-18

在 MATLAB Online 中打开

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