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Aide Scilab >> Traitement du Signal > sskf

sskf

steady-state Kalman filter

Calling Sequence

[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

Authors

C. B.

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Last updated:
Wed Oct 05 12:10:57 CEST 2011