N=200;w=randn(1,N);w(1)=0;x(1)=0;%%%%%%%%%%%%%%%%%%%%%%%%a=1;fork=2:Nx(k)=a*x(k-1)w(k-1);endplot(x)%%%%%%%%%%%%%%%%%%%%%%V=randn(1,N);c=1;Y=c*xV;figure,plot(Y,'r')%%%%%%%%%%%%%%%%%%%%%%%q1=std(V);Rvv=q1.^2;q3=std(w);Rww=q3.^2;%%%%%%%%%%%%%%%%%%%%%%p(1)=10;s(1)=6;fort=2:Nxx(t)=a*s(t-1);%xx(t)是t时刻的预测值p1(t)=a.^2*p(t-1)Rww;b(t)=c*p1(t)/(c.^2*p1(t)Rvv);s(t)=xx(t)b(t)*(Y(t)-c*xx(t));p(t)=p1(t)-c*b(t)*p1(t);endfigure,plot(s,'g')t=1:N;figure,plot(t,Y,'r',t,s,'g')