I plan to use Kalman filter to estimate saving account amount.
However, I'm a bit lost at how to tune the filter's parameters.
Taking as the example from the Wikipedia page, basically there are three parameters.
P(0) can be set as (L, 0; 0, L), where L is a big number. This is fine, anyway P(k) shall converge.
R supposedly is a constant; it's suggested to be taken as covariance of z. Fine, thought Z is composed of x and v.
How about Q? From An Introduction to the Kalman Filter by Greg Welch and Gary Bishop, different values of Q seems seriously affect the converge of estimation.
Any suggestions on how to tune Q?