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Aide Scilab >> Traitement du Signal > kalm

kalm

Kalman update

Calling Sequence

[x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)

Arguments

f,g,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

x

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

Description

function which gives the Kalman update and error variance

Authors

C. B.

<< jmat Traitement du Signal lattn >>

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Last updated:
Thu May 12 11:44:57 CEST 2011