版权所有2015 The MathWorks, Inc.函数[A, B, C, D, Mean0 Cov0, StateType] = timeVariantParamMap (params)%时变状态空间模型参数映射函数示例。这函数将向量参数映射到状态空间矩阵(A、B、C和% D)、初始状态值和初始状态方差(Mean0和% Cov0)和状态类型(StateType)。从第1节到第10节状态模型为AR(2)和MA(1)模型，观测模型为两种状态之和。从第11阶段到第20阶段，状态模型是%只是AR(2)模型。varu11 = exp (params (3));正方差约束vare11 = exp (params (6));vare12 = exp (params (8));A1 = {[params(1) params(2) 0 0;1 0 0 0;0 0 0 params(4);0 0 0};B1 ={[根号(varu11) 0;0 0;0 1;0 1]}; C1 = {params(5)*[1 0 1 0]}; D1 = {sqrt(vare11)}; Mean0 = [0.5 0.5 0 0]; Cov0 = eye(4); StateType = [0 0 0 0]; A2 = {[params(1) params(2) 0 0; 1 0 0 0]}; B2 = {[sqrt(varu11); 0]}; A3 = {[params(1) params(2); 1 0]}; B3 = {[sqrt(varu11); 0]}; C3 = {params(7)*[1 0]}; D3 = {sqrt(vare12)}; A = [repmat(A1,10,1);A2;repmat(A3,9,1)]; B = [repmat(B1,10,1);B2;repmat(B3,9,1)]; C = [repmat(C1,10,1);repmat(C3,10,1)]; D = [repmat(D1,10,1);repmat(D3,10,1)];结束