Parameter and State Estimator for State Space Models

Table 1

The parameter estimates and errors (𝜎²=0.20²).

𝑡	𝜃1	𝜃2	𝜃3	𝜃4	𝛿(%)
100	−0.70568	1.35339	−0.39169	1.01645	2.44445
200	−0.71515	1.38650	−0.41330	1.00994	4.06207
500	−0.70678	1.36377	−0.38556	0.99926	2.08997
1000	−0.70624	1.36483	−0.37257	1.00253	1.50180
2000	−0.70481	1.35720	−0.35450	0.99836	0.53395
3000	−0.70098	1.35107	−0.34969	0.99994	0.08005
True values	−0.70000	1.35000	−0.35000	1.00000