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Ajuda Scilab >> Processamento de Sinais > filters > srkf

srkf

square root Kalman filter

Calling Sequence

[x1,p1]=srkf(y,x0,p0,f,h,q,r)

Arguments

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

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

Description

square root Kalman filter algorithm

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Last updated:
Mon Oct 01 17:39:46 CEST 2012