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Hello.

I just started to study Kalman filter for parameter estimation in state
space model based on physics.

After reading some introductory material, I thought so-called "joint
extended kalman filter" might be the method for me. In that method, the
parameters which I want to estimate are supposed to be additional
members to states vector.

Please recommend me useful toolbox to accelerate my job here. I could
find some toolboxes from google search such as ReBEL, M-KFTool,
KALMTOOL.

The comments about those, recommendation for another toolbox, or any
advice will be appreciated.

Thank you in advance.

Hi MotorPump,

] After reading some introductory material, I thought so-called "joint
] extended kalman filter" might be the method for me. In that method,
the
] parameters which I want to estimate are supposed to be additional
] members to states vector.

Usually it's the state that you want to estimate, so just set up your
problem to include the parameters of interest in the state.

] Please recommend me useful toolbox to accelerate my job here. I could
] find some toolboxes from google search such as ReBEL, M-KFTool,
] KALMTOOL.

There's nothing like building one yourself! Matlab or Scilab (the free
version of matlab) should be able to help you there.

Figure out what the signal model is that generated the signal (the
thing you can measure), then just apply the Kalman filter equations (or
extended Kalman filter equations) and out pops your answer (estimate).
Ciao,

Peter K.