sskf
steady-state Kalman filter
Syntax
xe = sskf(y,f,h,q,r,x0) [xe, pe]=sskf(y,f,h,q,r,x0)
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
Examples
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