http://jp.mathworks.com/help/control/ug/kalman-filtering.html

function lineartest clear all; close all; A=1; b=1; c=1; Q=1; R=2; N=300; v=randn(N,1)*sqrtm(Q); w=randn(N,1)*sqrtm(R); x=zeros(N,1); y=zeros(N,1); y(1)=c'*x(1,:)+w(1); for k=2:N x(k,:)=A*x(k-1,:)'+b*v(k-1); y(k)=c'*x(k,:)'+w(k); end xhat …