Scilab 5.3.3
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Please note that the recommended version of Scilab is 2025.0.0. This page might be outdated.
See the recommended documentation of this function
srkf
square root Kalman filter
Calling Sequence
[x1,p1]=srkf(y,x0,p0,f,h,q,r)
Arguments
- f, h
current system matrices
- q, r
covariance matrices of dynamics and observation noise
- x0, p0
state estimate and error variance at t=0 based on data up to t=-1
- y
current observation Output from the function is
- x1, p1
updated estimate and error covariance at t=1 based on data up to t=0
Description
square root Kalman filter algorithm
Authors
C. B.
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