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