How to return likelihood using unscentedK​almanFilte​r/extended​KalmanFilt​er Object in the signal processing toolbox?

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

[Hao Chang]

I forgot to attach the documents of these two functions, which are:

Unsecented Kalman Filter: https://www.mathworks.com/help/control/ref/unscentedkalmanfilter.html

Extended Kalman fiture: https://www.mathworks.com/help/ident/ref/extendedkalmanfilter.html

Thanks.

Answer 1

[Nick Sarnie]

Hi Hao,

I wasn't able to find any documentation relating to likelihood or log likelihood for the unscentedKalmanFilte and extendedKalmanFilter objects. Could please go into more detail on that?