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Scilab manual >> Signal Processing > srkf


square root Kalman filter

Calling Sequence



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


current observation Output from the function is

x1, p1

updated estimate and error covariance at t=1 based on data up to t=0


square root Kalman filter algorithm


C. B.

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Last updated:
Wed Jan 26 16:23:41 CET 2011