How to estimate parameters of a state space model in which states are known?

I want to estimate F (2*2) and H (N*2) in a state space model. The system is considered free of noise and the states (for t=1,2,...) are givenx(t+1)=Fx(t)y(t)=Hx(t) y (N*1) are the observations. I...

02 May 2016 5,689 8 View