Simulating noise with Yuler and Burg

[ramesses]

Hi
After removing high frequency white noise in my INS sensor, I want to simulate low frequency noise with Burg or Yuler.
I used some functions in python to analyse the recorded data and to get parameters to use.
But the the problem is the sequences generated diverge (and take very big values), is that normal ?
I use the following equation :
X_N+4=X_N+3*C₃+X_N+2*C₂+X_N+1*C₁+W₁
where W1 is white noise.
I have another question.
Why I have to use kalman filter to estimate the error ?
Why not to integrate directly the value given by the simulation ?

 

[Jeff Rosenbury]

I have no idea what you wrote. Is that English?

It seems to be some sort of auto-regressive model, but I don't recognize the math. Perhaps if that were clearer (use that little Σ button if it helps) more people would respond.

Also another forum might find more people familiar with this sort of math.

 

[ramesses]

English is my 3rd language
X_N=Σ³_i=0X_i*C_i +W1