I have not yet found the solution, but i have found this example that helped me progress [1].
Estimating process noise using System Identification Toolbox
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Dear community,
I am unable to understand how the System Identification Toolbox is simulating process. I have created a dummy simulation -- see attached file -- where i simulate a SISO system actuated only though the Gaussian noise.
I am unable to understand what kind of noise simulation the toolbox is using -- i would assume some kind of wiener process, but the internal state tend towards 0. Additionally, I cannot get the correct K value when i change the step time of the simulation to another value than 1.
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