Estimate State-Space Time Series Models
Definition of State-Space Time Series Model
The discrete-time state-space model for a time series is given by the following equations:
where T is the sample time and y(kT) is the output at time instant kT.
The time series structure corresponds to the general structure with empty B and D matrices.
For information about general discrete-time and continuous-time structures for state-space models, see What Are State-Space Models?.
Estimate State-Space Models at the Command Line
You can estimate single-output and multiple-output state-space models at the
command line for time-domain data (
The following table provides a brief description of each command. The resulting
idss model objects. You can estimate
either continuous-time, or discrete-time models using these commands.