sskf

Arguments

y

data in form [y0,y1,...,yn], yk a column vector

f

system matrix dim(NxN)

h

observations matrix dim(MxN)

q

dynamics noise matrix dim(NxN)

r

observations noise matrix dim(MxM)

x0

initial state estimate

xe

estimated state

pe

steady-state error covariance

Description

steady-state Kalman filter

Authors

C. B.